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Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis

Alom, Fardous; Ward, Bert D; Hu, Baiding - In: Economics Bulletin 31 (2011) 2, pp. 1439-1450

This study assesses the mean and volatility spillover effects of changes in food prices among a number of Asia and … that while there is weak evidence of own and cross country mean return spillover effects among the selected food markets … with strong evidence of mean spillover effects from the USA food price returns to all other markets, but with respect to …

Persistent link: https://www.econbiz.de/10011278862

Aggregation of incidence and intensity risk variables to achieve reconciliation

Hunt, Clive; Taplin, Ross - In: Risks 7 (2019) 4, pp. 1-14

The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the product of exposure at default (EAD), probability of...

Persistent link: https://www.econbiz.de/10013200525

Average Internal Rate of Return and investment decisions: A new perspective

Magni, Carlo Alberto - Dipartimento di Economia "Marco Biagi", Università … - 2010

an investment or a borrowing at his discretion. This permits to show that any arithmetic mean of the one-period return …

Persistent link: https://www.econbiz.de/10008594387

Aggregation of incidence and intensity risk variables to achieve reconciliation

Hunt, Clive; Taplin, Ross - In: Risks : open access journal 7 (2019) 4/107, pp. 1-14

Persistent link: https://www.econbiz.de/10012127917

Market integration dynamics and asymptotic price convergence in distribution

García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2013

Persistent link: https://www.econbiz.de/10010191280

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012

A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has...

Persistent link: https://www.econbiz.de/10011015213

Semi-parametric Bayesian Partially Identified Models based on Support Function

Liao, Yuan; Simoni, Anna - Volkswirtschaftliche Fakultät, … - 2012

Bayesian partially identified models have received a growing attention in recent years in the econometric literature, due to their broad applications in empirical studies. Classical Bayesian approach in this literature has been assuming a parametric model, by specifying an ad-hoc parametric...

Persistent link: https://www.econbiz.de/10011113790

Jackknife Empirical Likelihood for the Accelerated Failure Time Model with Censored Data

Bouadoumou, Maxime K - 2011

empirical likelihood turns the statistic of interest into a sample mean based on jackknife pseudo-values. U-statistic approach …

Persistent link: https://www.econbiz.de/10009480800

Effects of Model Selection on the Coverage Probability of Confidence Intervals in Binary-Response Logistic Regression

Zhang, Dongquan - 2008

While model selection is viewed as a fundamental task in data analysis, it imposesconsiderable effects on the subsequent inference. In applied statistics, it is common tocarry out a data-driven approach in model selection and draw inference conditional on theselected model, as if it is given a...

Persistent link: https://www.econbiz.de/10009450906

Poisson Weighted Ishita Distribution: Model for Analysis of Over-Dispersed Medical Count Data

Para, Bilal Ahmad; Jan, Tariq Rashid - In: Statistics in Transition New Series 21 (2020) 3, pp. 171-184

A new over-dispersed discrete probability model is introduced, by compounding the Poisson distribution with the weighted Ishita distribution. The statistical properties of the newly introduced distribution have been derived and discussed. Parameter estimation has been done with the application...

Persistent link: https://www.econbiz.de/10012600264