Similar Search Results

Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes

Kara, Alper; Yıldırım, Dilem; Tunç, Gül Ipek - 2021

Persistent link: https://www.econbiz.de/10013550334

Testing stationarity with unobserved-components models

Morley, James C.; Panovska, Irina B.; Sinclair, Tara M. - In: Macroeconomic dynamics 21 (2017) 1, pp. 160-182

Persistent link: https://www.econbiz.de/10011686122

Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics

Bardet, Jean-Marc; Dola, Béchir - In: Journal of time series econometrics 8 (2016) 2, pp. 115-153

Persistent link: https://www.econbiz.de/10011582764

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012265709

Market efficiency in non-renewable resource markets : evidence from stationarity tests with structural changes

Kara, Alper; Yildirim, Dilem; Tunç, Gül Ipek - In: Mineral economics : raw materials report 36 (2023) 2, pp. 279-290

Persistent link: https://www.econbiz.de/10014251404

Risk ascertained determinants of cost of equity capital : a comparative analysis across regulated sectors in India

Yalla, Sushma Priyadarsini; Jain, Karuna; … - In: International journal of public sector performance … 9 (2022) 3, pp. 303-321

Persistent link: https://www.econbiz.de/10013257329

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …

Persistent link: https://www.econbiz.de/10009620388

Alternative statistical distributions for estimating value-at-risk : theory and evidence

Lee, Cheng F.; Su, Jung-Bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009673712

A new nonparametric quantile estimate for length-biased data with competing risks

Zhang, Feipeng; Tan, Zhong - In: Economics letters 137 (2015), pp. 10-12

Persistent link: https://www.econbiz.de/10011436181

Estimating the distribution of welfare effects using quantiles

Hoderlein, Stefan; Vanhems, Anne - 2013 - This version: September 10, 2013

Persistent link: https://www.econbiz.de/10011508475