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Overnight Index Rate : model, calibration and simulation
Yashkir, Olga; Yashkir, Yuri - In: Cogent economics & finance 2 (2014) 1, pp. 2-11
central peak and the wide fat-tailed component. The calibration algorithm for the model is developed and investigated using …
Persistent link: https://www.econbiz.de/10010489795
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Threshold effects in credit risk and stress scenarios
Nunes, Tiago M. T.; Rodrigues, Paulo M. M. - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 393-407
Persistent link: https://www.econbiz.de/10009508857
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The generalized johnson quantile-parameterized distribution system
Hadlock, Christopher C.; Bickel, J. Eric - In: Decision analysis : a journal of the Institute for … 16 (2019) 1, pp. 67-85
Persistent link: https://www.econbiz.de/10012016614
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A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin; Feng, Lingbing - In: Economic modelling 53 (2016), pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
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Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence
Feng, Lingbing; Shi, Yanlin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10012198500
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Markov Regime-Switching in-mean model with tempered stable distribution
Shi, Yanlin; Feng, Lingbing; Fu, Tong - In: Computational economics 55 (2020) 4, pp. 1275-1299
Persistent link: https://www.econbiz.de/10012223722
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Estimating the trend in US real GDP using the l1 trend filtering
Yamada, Hiroshi - In: Applied economics letters 24 (2017) 10/12, pp. 713-716
Persistent link: https://www.econbiz.de/10011714160
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A simulation study on the distributions of disturbances in the GARCH model
Feng, Lingbing; Shi, Yanlin - In: Cogent economics & finance 5 (2017) 1, pp. 1-19
Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series. The original specification of GARCH model is developed based on Normal distribution for the disturbances, which cannot accommodate fat-tailed...
Persistent link: https://www.econbiz.de/10011882518
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From the St. Petersburg paradox to the dismal theorem
Cato, Susumu - In: Environment and development economics 25 (2020) 5, pp. 423-432
Persistent link: https://www.econbiz.de/10012307251
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The T2 chart with mixed samples to control bivariate autocorrelated processes
Leoni, Roberto Campos; Machado, Marcela Aparecida Guerreiro - In: International journal of production research 54 (2016) 11/12, pp. 3294-3310
Persistent link: https://www.econbiz.de/10011497159