increasingly exposed to model risks stemming from model misspecification, estimation risk or measurement error. In view of these …

Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean … commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across …

Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is … understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An …

estimation efficiency, and ignorance of the estimators' distributional properties when data are missing. An alternative approach … REML estimation of genotypic and phenotypic correlations. Additionally, a method to obtain approximate parametric estimates … data set and with simulated data. The simulation study examined the effects of different correlation parameter values …

Persistenzmodellierung. Zu dieser gehören verschiedene Techniken der Zeitreihenanalyse (u. a. ADF-Test, VAR-Modelle, Impulse …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …