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Narrow-band weighted nonlinear least squares estimation of unbalanced cointegration systems

Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019

Persistent link: https://www.econbiz.de/10012241999

Local Whittle analysis of stationary unbalanced fractional cointegration systems

Dubois, Florent; Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019 - Preliminary draft

Persistent link: https://www.econbiz.de/10012242004

Testing interval forecasts : a GMM-based approach

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Madkour, Jaouad - In: Journal of forecasting 32 (2013) 2, pp. 97-110

Persistent link: https://www.econbiz.de/10009758695

How should parameter estimation be tailored to the objective?

Hansen, Peter Reinhard; Dumitrescu, Elena-Ivona - In: Journal of econometrics 230 (2022) 2, pp. 535-558

Persistent link: https://www.econbiz.de/10013464115

Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue

Truchis, Gilles de - In: Economic modelling 34 (2013), pp. 98-105

Persistent link: https://www.econbiz.de/10010363738

Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities

Aloy, Marcel; Truchis, Gilles de - In: Computational economics 48 (2016) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10011646595

Parameter Estimation With Out-of-Sample Objective

Hansen, Peter Reinhard - 2018

We study parameter estimation from the sample X, when the objective is to maximize the expected value of a criterion function, Q, for a distinct sample, Y. This is the situation that arises when a model is estimated for the purpose of describing other data than those used for estimation. The...

Persistent link: https://www.econbiz.de/10012919208