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An entropy divergence, D-distribution and its selected application in multivariate financial time series

Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148

Persistent link: https://www.econbiz.de/10012940016

Targeting moments for calibration compared with indirect inference

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2022

of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an … Inference, FII, chooses a set of moments as the auxiliary model and computes the Wald statistic for the joint distribution of … these moments according to the structural DSGE model; it tests the model according to the probability of obtaining the data …

Persistent link: https://www.econbiz.de/10014433313

The role of fiscal policy : a survey of recent empirical findings

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2023

DSGE models based on New Keynesian principles, which have been extended to allow for banking, the zero lower bound on interest rates (ZLB), and varying price duration, can account well for recent macroeconomic behavior across a variety of economies. These models Önd that active Öscal policy...

Persistent link: https://www.econbiz.de/10014433366

Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365495

Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models

Eriksson, Bjorn; Pistorius, Martijn - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1139-1158

Persistent link: https://www.econbiz.de/10009407659

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767004

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010195910

Ten things you should know about DCC

Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009725302

Neumann series on the recursive moments of copula-dependent aggregate discounted claims

Ramli, Siti Norafidah Mohd; Jang, Jiwook - In: Risks : open access journal 2 (2014) 2, pp. 195-210

We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … of successive approximation to derive the Neumann series of the recursive moments. We then compute the first two moments …

Persistent link: https://www.econbiz.de/10010399755

Skewness term structure tests

Lin, Yuehao; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502924