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The Algebra of Two Scales Estimation, and the S-TSRV : High Frequency Estimation That Is Robust to Sampling Times
Mykland, Per A. - 2018
In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the …
Persistent link: https://www.econbiz.de/10012914838
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Efficient Estimation of Copula-Based Semiparametric Markov Models
Chen, Xiaohong - 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … geometrically ergodic. We then propose a sieve maximum likelihood estimation (MLE) for the copula parameter, the invariant …
Persistent link: https://www.econbiz.de/10012718937
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Copula Parameter Estimation by Maximum-Likelihood and Minimum-Distance Estimators - A Simulation Study
Weiss, Gregor N. F. - 2010
the copula, the sample size or the location of the parameter, maximum-likelihood yields smaller estimation biases at less …
Persistent link: https://www.econbiz.de/10012757942
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Time Varying Hierarchical Archimedean Copulae
Härdle, Wolfgang - 2017
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the …
Persistent link: https://www.econbiz.de/10012966304
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Bayesian Nonparametric Conditional Copula Estimation of Twin Data
Dalla Valle, Luciana - 2017
propose a flexible Bayesian nonparametric approach for the estimation of conditional copulas, which can model any conditional …
Persistent link: https://www.econbiz.de/10012969727
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …
Persistent link: https://www.econbiz.de/10003953027
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Gaussian Slug - Simple Nonlinearity Enhancement to the 1-Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness-of-Fit Tests on US and Thai Equity Da...
Nacaskul, PhD, DIC, CFA, Poomjai - 2016
structure. In addition, (iii) this paper devises a simple, intuitive formulation of copula parameter estimation as a …
Persistent link: https://www.econbiz.de/10013009170
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Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
Chen, Xiaohong - 2019
This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series … were directly observed. These nice properties lead to simple and more accurate estimation of Value-at-Risk (VaR) for …
Persistent link: https://www.econbiz.de/10012857717
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Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems
Malhotra, Yogesh - 2015
Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...
Persistent link: https://www.econbiz.de/10013029835
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Minimum Distance Estimation for a Class of Markov Decision Processes
Srisuma, Sorawoot - 2010
. We illustrate how our estimation methodology forms a basis for the estimation of dynamic models with different class of …
Persistent link: https://www.econbiz.de/10013139550