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Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.

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Pitfalls in estimating jump-diffusion models

Honoré, Peter - 1998

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The method of moments for multivariate random sums

Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024

Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...

Persistent link: https://www.econbiz.de/10014575595

Matrix gamma distributions and related stochastic processes

Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

Persistent link: https://www.econbiz.de/10013469607

Sieve bootstrap for strongly dependent stationary processes

Kapetanios, George (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003262868

Bayesian nonparametric models for conditional densities based on orthogonal polynomials

Norets, Andriy; Petterson, Marco S. - 2024

Persistent link: https://www.econbiz.de/10015408369

Selective sampling with information-storage constraints

Jehiel, Philippe; Steiner, Jakub - 2019

Persistent link: https://www.econbiz.de/10012234587

Estimation with probability edited survey data under nonresponse

Ilves, Maiki - 2025

Probabilistic editing has been introduced to enable valid inference using established survey sampling theory in … biggest impact on estimates to be produced. However, selective editing is not grounded in probability theory associated with … survey sampling, and cannot provide expressions for point and variance estimates that account for the uncertainties …

Persistent link: https://www.econbiz.de/10015207175

Partial identification of population average and quantile treatment effects in observational data under sample selection

Christelis, Dimitris; Messina, Julián - 2019

This paper partially identifies population treatment effects in observational data under sample selection, without the benefit of random treatment assignment. Bounds are provided for both average and quantile population treatment effects, combining assumptions for the selected and the...

Persistent link: https://www.econbiz.de/10011992007

Semiparametric detection of changes in long range dependence

Iacone, Fabrizio; Lazarová, Stěpána - 2017

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only...

Persistent link: https://www.econbiz.de/10011756088