Nonlinear dynamic structures

Article Abstract:

A nonlinear time series is examined in terms of its dynamics through focusing on conditional moment profiles which correspond to specific shocks, and using a method which includes strategies for developing perturbation experiments and carrying out statistical inference employing bootstrap methods. An empirical study is carried out using the New York Stock Exchange, and the results indicate the strengths of nonlinear models for caturing dynamics.

Case studies, Financial markets, Nonlinear theories

---

Convergence rates of SNP density estimators

Article Abstract:

The SNP estimator has been utilized for structural, reduced form, and efficient method of moments estimation in economics, finance and health services. It is essential to determine if the choice of SNP used for computation was well-planned when studying these bodies of knowledge. The case of a univariate density derived from a random sample is considered in studying the behavior of SNP in relation to other density estimators.

Estimation theory, Nonparametric statistics, Convergence (Mathematics)

---

Using daily range data to calibrate volatility diffusions and extract the forward integrated variance

Article Abstract:

This paper attempts to extend the methods for making diffusion model estimates of securities prices and offers data extraction methods for determining the mean and distribution of price variances.

Science & research, Econometrics & Model Building, Statistical Data Included, Usage, Prices and rates, Securities, Securities prices, Stochastic analysis, Prices, Business models

Similar abstracts:

• Abstracts: Demand aggregation under structural stability. A functional central limit theorem for equilibrium paths of economic dynamics
• Abstracts: Forecasting real-time data allowing for data revisions. Linear combination of restrictions and forecasts in time series analysis
• Abstracts: Validation of volatility models. A Bayesian analysis of periodic integration
• Abstracts: Can panel data really improve the predictability of the monetary exchange rate model? Modelling the frequency and severity of extreme exchange rate returns
• Abstracts: Forecasting volatility by means of threshold models. Traditional versus unobserved components methods to forecast quarterly national account aggregates

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.