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We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of … continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE …
Persistent link: https://www.econbiz.de/10011401308
In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...
Persistent link: https://www.econbiz.de/10012022209
distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …
Persistent link: https://www.econbiz.de/10012022130
models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …
Persistent link: https://www.econbiz.de/10010364739
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012795401
A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of strictly exogenous covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. An economic...
Persistent link: https://www.econbiz.de/10014052436
Computational aspects concerning a model for clustered binary panel data are analysed. The model is based on the representation of the behavior of a subject (individual panel member) in a given cluster by means of a latent process that is decomposed into a cluster-specific component, which...
Persistent link: https://www.econbiz.de/10014052438
A breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value (e.g., nonnegative) and second that the...
Persistent link: https://www.econbiz.de/10012956452
Item non-response occurs when respondents fail to provide answers to some or all of the questions posed during survey interviews. The standard procedure is to exclude such responses from the econometric analysis. This may be appropriate if the sample included does not differ significantly from...
Persistent link: https://www.econbiz.de/10011477155