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conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility … stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re …
Persistent link: https://www.econbiz.de/10010907440
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010796148
This paper deals with the detection of the non-invertibility in moving average (MA) models. We derive an inequality for …
Persistent link: https://www.econbiz.de/10005022370
This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...
Persistent link: https://www.econbiz.de/10010548109
Macroeconomic forecasts are frequently produced, widely published, inten¬sively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...
Persistent link: https://www.econbiz.de/10010556072
Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...
Persistent link: https://www.econbiz.de/10008621804
moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10010907413
moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10010631766
In a split sample design, we examine how the number of choice sets, design of the first choice set (starting point), and the choice of attribute levels in the cost attribute affect the precision in the elicited preferences in otherwise completely identical choice experiment surveys. These issues...
Persistent link: https://www.econbiz.de/10005423963
In this paper we investigate consumer preferences for various environmentally-friendly production systems for carrots. We use discrete-choice multi-attribute stated-preference data to explore the effect of the collective reputation of growers from an Alpine valley with an established reputation...
Persistent link: https://www.econbiz.de/10005404222