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The inequality dataset compiled in the 1990s by the World Bank and extendedby the UN has been both widely used and strongly criticized. The criticisms raisequestions about conclusions drawn from secondary inequality datasets in general. Wedevelop techniques to deal with national and...
Persistent link: https://www.econbiz.de/10011346482
The inequality dataset compiled in the 1990s by the World Bank and extended by the United Nations has been both widely used and strongly criticized. The criticisms raise questions about conclusions drawn from secondary inequality datasets in general. The authors develop techniques to deal with...
Persistent link: https://www.econbiz.de/10014061836
The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...
Persistent link: https://www.econbiz.de/10013126695
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the … characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an …
Persistent link: https://www.econbiz.de/10012919210
We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …
Persistent link: https://www.econbiz.de/10012986881
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A … measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models …
Persistent link: https://www.econbiz.de/10013070404
The inequality dataset compiled in the 1990s by the World Bank and extendedby the UN has been both widely used and strongly criticized. The criticisms raisequestions about conclusions drawn from secondary inequality datasets in general. Wedevelop techniques to deal with national and...
Persistent link: https://www.econbiz.de/10010325176
Wir stellen ein Maß für die Beziehung zwischen zwei Städten/Regionen basierend auf Suchanfragen vor, ausgehend von Merkmalen der Suchanfragen-Zeitreihen nach Zerlegung der Zeitreihe mittels STL (Komponentenzerlegung mittels lokaler linearer Kernregression). Grundlage für das Maß sind...
Persistent link: https://www.econbiz.de/10012262796
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011411362
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174