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Residual analysis and parameter estimation of uncertain differential equations

Liu, Yang; Liu, Baoding - In: Fuzzy optimization and decision making : a journal of … 21 (2022) 4, pp. 513-530

Persistent link: https://www.econbiz.de/10013431716

Local influence analysis of stochastic frontier estimation : a case-weights perturbation approach

Zhuo, Shuaihe - In: Economics letters 164 (2018), pp. 70-81

Persistent link: https://www.econbiz.de/10011939946

Modeling mortality and pricing life annuities with Lévy processes

Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350

Persistent link: https://www.econbiz.de/10011398092

Multi-population mortality modeling with Lévy processes

Jevtić, Petar; Qin, Chengwei; Zhou, Hongjuan - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 583-609

Persistent link: https://www.econbiz.de/10014443756

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

On the Invertibility of EGARCH

McAleer, Michael; Martinet, Guillaume Gaetan - Facultad de Ciencias Económicas y Empresariales, … - 2014

effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

Persistent link: https://www.econbiz.de/10011079163

Asymmetric stable stochastic volatility models : estimation, filtering, and forecasting

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023

accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the …

Persistent link: https://www.econbiz.de/10014433826

The analysis of stochastic volatility in the presence of daily realised measures

Koopman, Siem Jan; Scharth, Marcel - 2011

Persistent link: https://www.econbiz.de/10010191086

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …

Persistent link: https://www.econbiz.de/10010392823

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage … confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … capture leverage, the purpose of the paper is three-fold, namely, (1) to derive the GJR model from a random coefficient …

Persistent link: https://www.econbiz.de/10010417180