Browsing Department of Economics (ECO) by Subject "C15"

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Browsing Department of Economics (ECO) by Subject "C15"

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    Title: Indirect Estimation of Elliptical Stable Distributions  Author(s): LOMBARDI, Marco J.; VEREDAS, David Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate Student-t distribution as auxiliary model. This distribution is also elliptical and we show that ...
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    Title: Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue  Author(s): HERACLEOUS, Maria S. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Econometric modeling based on the Student’s t distribution introduces an additional parameter — the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...
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    Title: A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models  Author(s): KASCHA, Christian Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered difficult by many applied researchers. These disadvantages ...
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    Title: Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue  Author(s): HERACLEOUS, Maria S. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Econometric modeling based on the Student's t distribution introduces an additional parameter -- the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...
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    Title: Business Cycle Analysis and VARMA Models  Author(s): KASCHA, Christian; MERTENS, Karl Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have sug- gested that one reason SVARs ...