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Structural Change and long memory in the GARCH(1,1)-model
Azamo, Baudouin Tameze; Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2006
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...
Persistent link: https://www.econbiz.de/10009219879
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Structural change and estimated persistence in the GARCH(1,1)-model
Krämer, Walter; Azamo, Baudouin Tameze - In: Economics letters 97 (2007) 1, pp. 17-23
Persistent link: https://www.econbiz.de/10007767488
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Structural change and estimated persistence in the GARCH(1,1)-model
Krämer, Prof. Dr. Walter; Azamo, Baudouin Tameze - Institut für Wirtschafts- und Sozialstatistik, …
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...
Persistent link: https://www.econbiz.de/10005687733
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Structural change and estimated persistence in the GARCH(1,1)-model
Kramer, Walter; Azamo, Baudouin Tameze - In: Economics Letters 97 (2007) 1, pp. 17-23
Persistent link: https://www.econbiz.de/10005275961
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Book reviews
Hauser, Michael; Trenkler, Götz; Maronna, Ricardo; … - In: Statistical Papers 42 (2001) 1, pp. 134-138
Persistent link: https://www.econbiz.de/10005167202
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Trend in ökonometrischen Modellen : eine Untersuchung der statistischen Konsequenzen für ausgewählte Schätzverfahren
Krämer, Walter - 1984
Persistent link: https://www.econbiz.de/10004584685
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So lügt man mit Statistik
Krämer, Walter - 1991 - Orig.-Ausg.
Persistent link: https://www.econbiz.de/10004099259
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Eine Alternative zur Methode der gleitenden Durchschnitte bei der Trendschätzung mit trendabhängiger Saisonkomponente
Krämer, Walter - In: Allgemeines statistisches Archiv : AStA ; journal of … 63 (1979) 4, pp. 386-393
Persistent link: https://www.econbiz.de/10002251664
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The effect of several types of misspecification on the relative small sample properties of simulataneous equation estimators
Krämer, Walter - 1979
Persistent link: https://www.econbiz.de/10002251724
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High correlation among errors and the efficiency of ordinary least squares in linear models
Krämer, Walter - In: Statistische Hefte : internationale Zeitschrift für … 25 (1984) 2, pp. 135-142
Persistent link: https://www.econbiz.de/10002251756