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Hall, Alastair R. - 2005 - 1. publ.

Persistent link: https://www.econbiz.de/10001878374

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

Persistent link: https://www.econbiz.de/10009389845

Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy

Brooks, Chris - 1997

Persistent link: https://www.econbiz.de/10000978781

Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables

Galata, Robert (ed.); Schneeweiß, Hans (honouree); … - 1998

between 1959 and 1965. Following his Habilitation in 1964, he was appointed to the chair of Statistics and Econometrics at the … Department of Statistics of the University of Waterloo, Canada, in 1970/71. He has been a full professor of Econometrics and … work he has published outstanding, original articles on econometrics and statistics. To give an ex ample, it is his …

Persistent link: https://www.econbiz.de/10000655961

System dynamics in economic and financial models

Heij, Christiaan (ed.); Schumacher, Hans (contributor); … - 1997

Persistent link: https://www.econbiz.de/10013491170

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919