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Folded Variance Estimators for Stationary Time Series

Antonini, Claudia - 2005

This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...

Persistent link: https://www.econbiz.de/10009476105

Asymmetrische Effekte der Geldpolitik auf die Industrie in der Bundesrepublik Deutschland - eine Untersuchung auf Branchenebene

Hock, Thorsten - 2003

Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...

Persistent link: https://www.econbiz.de/10009433722

Network effects, compatibility, and adoption of standards

Grajek, Michał - 2005

standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …

Persistent link: https://www.econbiz.de/10009467122

Applications of Time Series in Finance and Macroeconomics

Jansen, Dennis W. (contributor) - 2010

This dissertation contains three applications of time series in finance and macroeconomics. The first essay compares the cumulative returns for stocks and bonds atinvestment horizons from one to ten years by using a test for spatial dominance.Spatial dominance is a variation of stochastic...

Persistent link: https://www.econbiz.de/10009464998

Three Essays on Bayesian Factor Models

Piatek, Rémi - 2010

The present dissertation consists of three stand-alone research papers that all deal with factor models from a Bayesian perspective, both in a theoretical and an empirical setup. More precisely, the thesis is organized in a progressive way as follows: Chapter 1 briefly presents the general...

Persistent link: https://www.econbiz.de/10009471699

Machine Learning with Dirichlet and Beta Process Priors: Theory and Applications

Paisley, John William - 2010

Bayesian nonparametric methods are useful for modeling data without having to define the complexity of the entire model a priori, but rather allowing for this complexity to be determined by the data. Two problems considered in this dissertation are the number of components in a mixture model,...

Persistent link: https://www.econbiz.de/10009475409

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

over mean-variance optimization. The second is that, for all three risk measures, semi-parametric estimation of the optimal … portfolio offers a very significant improvement over non-parametric estimation. The results are robust to as the choice of … target return and the estimation period.Chapter 4 searches for improvements in portfolio risk measurement by addressing …

Persistent link: https://www.econbiz.de/10009440952

Likelihood-based estimation of latent generalised ARCH structures

Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - 2004

). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is …

Persistent link: https://www.econbiz.de/10009441544

Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?

Dreger, Christian; Schumacher, Christian - 2002

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

Persistent link: https://www.econbiz.de/10009442339

Forecasting Economic Activity for Estonia

Schulz, Christian - 2008

last paper also investigates Inflation dynamics and potential output estimation. …

Persistent link: https://www.econbiz.de/10009449682