Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...

The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...

The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Measurable aspects of the economic convergence of EU countries form the main topic of this paper. For this purpose, statistical and econometric methods are presented and applied for revealing characteristic elements of such a process. A first group of methods refers mainly to aspects such as:...

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the p*-formula even though the MLE...

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the pstar-formula even though the MLE...

We provide general results for the asymptotic variance of regression coefficients computedfrom a sample drawn from a finite population. We encompass the potentialoutcomes and classic regression frameworks allowing for both heterogeneous treatmenteffects and random-across-resampling shocks....

We provide general results for the asymptotic variance of regression coefficients computed from a sample drawn from a finite population. We encompass the potential outcomes and classic regression frameworks allowing for both heterogeneous treatment effects and random-across-resampling shocks....