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Forward-Looking Beta Estimates:Evidence from an Emerging Market

Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2008

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...

Persistent link: https://www.econbiz.de/10004961496

Analysis of dependencies in low frequency financial data sets

Ardia, David - Volkswirtschaftliche Fakultät, … - 2003

and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co … independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are …

Persistent link: https://www.econbiz.de/10005837546

Least squares estimation for GARCH (1,1) model with heavy tailed errors

Preminger, Arie; Storti, Giuseppe - Volkswirtschaftliche Fakultät, … - 2014

GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time …) for the GARCH (1,1) model. The asymptotic properties of the LSE are studied under very mild moment conditions for the … errors. We establish the consistency, asymptotic normality at the standard convergence rate of square root-of-n for our …

Persistent link: https://www.econbiz.de/10011111078

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2010

We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the … parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the … univariate case. In particular, contrary to the current literature on the estimation of multivariate GARCH models, no moment …

Persistent link: https://www.econbiz.de/10008615632

Spurious Regression

Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2008

The spurious regression phenomenon in Least Squares occurs for a wide range of Data Generating Processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern...

Persistent link: https://www.econbiz.de/10011109521

Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz

Cakir, Murat - Volkswirtschaftliche Fakultät, … - 2005

Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...

Persistent link: https://www.econbiz.de/10011111559

A note on approximating moments of least squares estimators

Liu-Evans, Gareth - Volkswirtschaftliche Fakultät, … - 2014

Results are presented for approximating the moments of least squares estimators, particularly those of the OLS estimator, and the methodology is illustrated using a simple dynamic model.

Persistent link: https://www.econbiz.de/10011113794

The Application of the Econometric Models with Qualitative Variables in the Analysis of the Non Academic Behaviors at the Level of the Romanian Higher Education System

Andrei, Tudorel; Teodorescu, Daniel; Iacob, Andreea … - Volkswirtschaftliche Fakultät, … - 2007

The purpose of this paper was to apply the econometric models with qualitative variables in order to analyze two non academic behaviors at the level of the Romanian higher education system: cheating on the exams by copying or by direct or intermediary intervention at the professor.

Persistent link: https://www.econbiz.de/10005621400

Deterministic and stochastic trends in the time series models: A guide for the applied economist

Rao, B. Bhaskara - Volkswirtschaftliche Fakultät, … - 2007

Applied economists working with time series data face a dilemma in selecting between models with deterministic and stochastic trends. While models with deterministic trends are widely used, models with stochastic trends are not so well known. In an influential paper Harvey (1997) strongly...

Persistent link: https://www.econbiz.de/10005621829

The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model

Barnett, William A.; Usui, Ikuyasu - Volkswirtschaftliche Fakultät, … - 2006

We conduct a Monte Carlo study of the global regularity properties of the Normalized Quadratic model. We particularly investigate monotonicity violations, as well as the performance of methods of locally and globally imposing curvature. We find that monotonicity violations are especially likely...

Persistent link: https://www.econbiz.de/10005617076