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Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model

Ali, Mukhtar M. - EconWPA - 1996

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of...

Persistent link: https://www.econbiz.de/10005556391

Solving Models with Imperfect and Asymmetric Information

Kowal, Pawel - EconWPA - 2005

We consider linear dynamic models with rational expectations in case of incomplete and asymmetric information as well as agents heterogeneity. This problem requires solving infinite dimensional matrix equations. We propose asymptotic expansion method to reduce this problem to the finite...

Persistent link: https://www.econbiz.de/10005561129

Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Ali, Mukhtar M. - EconWPA - 1996

Persistent link: https://www.econbiz.de/10005119150

Second and Third Order Bias Reduction for One-Parameter Family Models

Ferrari, S.L.P.; Botter, D.A.; Cordeiro, G.M.; … - EconWPA - 1995

In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for...

Persistent link: https://www.econbiz.de/10005119184

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series … properties of the realized volatility series and on assessing the connection between realized volatility and returns. In … particular, we find strong evidence on the existence of a volatility feedback effect and the leverage effect, and on the …

Persistent link: https://www.econbiz.de/10005413171

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005077019

Surprise Volume and Heteroskedasticity in Equity Market Returns

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

volume provides superior model fit and helps to explain volatility persistence as well as excess kurtosis. Surprise volume …

Persistent link: https://www.econbiz.de/10005556382

On the complete model with stochastic volatility by Hobson and Rogers

Pascucci, Andrea; Francesco, Marco Di - EconWPA - 2005

pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial …

Persistent link: https://www.econbiz.de/10005561720

A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios

Lee, Hsiang-Tai; Yoder, Jonathan - EconWPA - 2005

-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio … variance show that compared to the state-independent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging …

Persistent link: https://www.econbiz.de/10005407995

Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model

Henrard, Marc - EconWPA - 2004

composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …

Persistent link: https://www.econbiz.de/10005413062