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Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

Persistent link: https://www.econbiz.de/10011598042

Non-Linear Mixed Logit

Andersen, Steffen; Harrison, Glenn W.; Hole, Arne Risa; … - 2010

We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. A classic application is the estimation of coefficients of utility functions to characterize risk attitudes. There are...

Persistent link: https://www.econbiz.de/10012142365

On Using Pareto Distributions for Measuring Top-Income Gender Disparities

Hansen, Niels-Jakob Harbo; Harmenberg, Karl; Öberg, Erik; … - 2019

Atkinson et al. (2018) propose a measure of the glass ceiling exploiting that top incomes are approximately Pareto distributed. We clarify how this glass-ceiling coefficient describes the increasing scarcity of women further up in the income distribution and show how it relates to the top-income...

Persistent link: https://www.econbiz.de/10012142401

Multivariate methods for monitoring structural change

Groen, Jan J. J.; Kapetanios, George; Price, Simon - 2010

Detection of structural change is a critical empirical activity, but continuous 'monitoring' of series, for structural changes in real time, raises well-known econometric issues that have been explored in a single series context. If multiple series co-break then it is possible that simultaneous...

Persistent link: https://www.econbiz.de/10003933923

Towards the optimal management of the Northeast Arctic cod fishery

Richter, Andries; Eikeset, Anne Maria; Soest, Daniël … - 2011

The objectives pursued by governments managing fisheries may include maximizing profits, minimizing the impact on the marine ecosystem, or securing employment, which all require adjusting the composition of the fishing fleet. We develop a management plan that can be adapted to those objectives...

Persistent link: https://www.econbiz.de/10009125116

Adaptive forecasting in the presence of recent and ongoing structural change

Giraitis, Liudas; Kapetanios, George; Price, Simon - 2012

We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...

Persistent link: https://www.econbiz.de/10009510653

Inference on multivariate heteroscedastic time varying random coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015

establish consistency, convergence rates and asymptotic normality for kernel estimators of the paths of coefficient processes …

Persistent link: https://www.econbiz.de/10011405250

Burden of climate change on malaria mortality

Dasgupta, Shouro - 2017

In 2015, an estimated 429,000 deaths and 212 million cases of malaria occurred worldwide, while 70% of the deaths occurred in children under five years old. Changes in climatic exposure such as temperature and precipitation makes malaria one of the most climate sensitive outcomes. Using a global...

Persistent link: https://www.econbiz.de/10011714970

Backward-oriented economics

Frey, Bruno S. - 2021

Nowadays, academic journals of high standing rarely accept a conceptual idea in a paper not instantly accompanied by econometric estimates. The idea would almost certainly get rejected. Empirical validation based on past statistical data has produced an unfortunate backward orientation in...

Persistent link: https://www.econbiz.de/10012623985

Yet another case of Nordic exceptionalism? : a quantitative approach to an intra-Nordic and an international comparison of supreme courts' constitutional reasoning

Pettersson, Nicklas; Kelemen, Katalin - 2024

We present a systematic quantitative approach how to analyze the reasons that judges in Nordic countries publicly adduce for their decisions in constitutional matters, as implemented in the Nordic CONREASON Project. Based on encodings of forty (per court) purposively selected landmark cases,...

Persistent link: https://www.econbiz.de/10015051551