Showing 1 - 10 of 84
Persistent link: https://www.econbiz.de/10011646939
A single outlier in a regression model can be detected by the effect of its deletion on the residual sum of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or...
Persistent link: https://www.econbiz.de/10009441449
In this paper, we describe and compare two simulated Maximum Likelihood estimation methods for a basic stochastic volatility model. For both methods, the likelihood function is estimated using importance sampling techniques. Based on a Monte Carlo study, we assess which method is more effective....
Persistent link: https://www.econbiz.de/10014620914
Persistent link: https://www.econbiz.de/10012632812
Persistent link: https://www.econbiz.de/10012636327
Summary This paper models cyclical behaviour in property crime series (burglary and theft) in relation to the macroeconomic activity indicators in England and Wales in the period from 1955 to 2001. Using unobserved components (UC) time series models, univariate time series analysis suggests that...
Persistent link: https://www.econbiz.de/10014609423
Persistent link: https://www.econbiz.de/10012082793
Persistent link: https://www.econbiz.de/10005430070
We propose an observation-driven dynamic factor model for mixed-measurement and mixed-frequency panel data. Time series observations may come from a range of families of distributions, be observed at different frequencies, have missing observations, and exhibit common dynamics and...
Persistent link: https://www.econbiz.de/10011096896
We develop a new simultaneous time series model for volatility and dependence in daily financial return series that are subject to long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time...
Persistent link: https://www.econbiz.de/10011116263