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Accounting for Heterogeneity in Multicrop Micro-Econometric Models: Implications for Variable Input Demand Modeling

Alain Carpentier and Elodie Letort.

in American Journal of Agricultural Economics

January 2012; p ublished online November 2011 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 8565 words.

This article aims to show that if the farm sample under consideration is characterized by significant heterogeneity, recovering output-specific input uses or modeling farm-level input uses...

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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

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Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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An Analysis of Ill-Posed Production Problems Using Maximum Entropy

Quirino Paris and Richard E. Howitt.

in American Journal of Agricultural Economics

February 1998; p ublished online February 1998 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 0 words.

Production economics problems are often ill-posed. This means that the number of parameters to be estimated is greater than the number of observations. In this article we show how to...

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An Analysis of Ill-Posed Production Problems Using Maximum Entropy: Comment

Paul V. Preckel.

in American Journal of Agricultural Economics

February 2002; p ublished online February 2002 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 0 words.

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An Analysis of Ill-Posed Production Problems Using Maximum Entropy: Reply

Quirino Paris.

in American Journal of Agricultural Economics

February 2002; p ublished online February 2002 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 0 words.

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The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures

Siem Jan Koopman and Marcel Scharth.

in Journal of Financial Econometrics

January 2013; p ublished online October 2012 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling. 13884 words.

We develop a systematic framework for the joint modeling of returns and multiple daily realized measures. We assume a linear state space representation for the log realized measures, which...

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An Analysis of the Impact of Research and Development on Productivity Using Bayesian Model Averaging with a Reversible Jump Algorithm

Kelvin Balcombe and George Rapsomanikis.

in American Journal of Agricultural Economics

July 2010; p ublished online July 2010 .

Journal Article. Subjects: Technological Change; Research and Development; Agricultural, Environmental, and Natural Resource Economics; Single Equation Models; Single Variables; Econometric Modelling. 8083 words.

A Bayesian model averaging approach to the estimation of lag structures is introduced and applied to assess the impact of (R&D) on agricultural productivity in the United States from 1889...

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… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu and Heqing Zhu.

in The Review of Financial Studies

January 2016; p ublished online October 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling; Economics. 28414 words.

Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing...

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Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Torben G. Andersen and Oleg Bondarenko.

in Review of Finance

March 2015; p ublished online September 2014 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation; Econometric Modelling. 18129 words.

Following the “flash crash” on May 6, 2010, warning signals for impending market stress have been in high demand, yet only the VPIN metric of Easley, López de Prado, and O’Hara (ELO) has...

Asset Pricing in the Frequency Domain: Theory and Empirics

Ian Dew-Becker and Stefano Giglio.

in The Review of Financial Studies

August 2016; p ublished online April 2016 .

Journal Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Econometric Modelling. 14654 words.

We quantify investors’ preferences over the dynamics of shocks by deriving frequency-specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The...

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Asset Pricing with a General Multifactor Structure

Tomohiro Ando and Jushan Bai.

in Journal of Financial Econometrics

June 2015; p ublished online August 2014 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling; Economics. 16190 words.

This article analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific factors. We show how relevant...

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Asymmetry and Long Memory in Volatility Modeling

Manabu Asai, Michael McAleer and Marcelo C. Medeiros.

in Journal of Financial Econometrics

June 2012; p ublished online December 2012 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling. 5424 words.

In this paper, we propose a long memory asymmetric volatility model, which captures more flexible asymmetric patterns as compared with several existing models. We extend the new...

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Asymmetry, Partial Moments, and Production Risk

john M. Antle.

in American Journal of Agricultural Economics

October 2010; p ublished online October 2010 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling. 9046 words.

Partial-moment functions are proposed as a flexible way to characterize and estimate asymmetric effects of inputs on output distributions. Methods for econometric estimation of...

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Asymptotic Properties of GARCH-X Processes

Heejoon Han.

in Journal of Financial Econometrics

January 2015; p ublished online October 2013 .

Journal Article. Subjects: Economics; Single Equation Models; Single Variables; Econometric Modelling. 8690 words.

This article considers a GARCH process, generally named as GARCH-X, in which the additional covariate is specified as a positive fractionally integrated process. Recent work on MEM, HEAVY,...

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Bayesian Composite Qualitative Forecasting: Hog Prices Again

Jeffrey H. Dorfman.

in American Journal of Agricultural Economics

August 1998; p ublished online August 1998 .

Journal Article. Subjects: Econometric Modelling; Agricultural Economics. 0 words.

A new method for forming composite qualitative forecasts is presented. A set of qualitative forecasts is evaluated using auxiliary logit models to predict the probability of each forecast's...

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Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

István Barra, Agnieszka Borowska and Siem Jan Koopman.

in Journal of Financial Econometrics

June 2018; p ublished online May 2018 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables; Econometric Modelling. 10180 words.

Abstract

We investigate high-frequency volatility models for analyzing intradaily tick by tick stock price changes using Bayesian estimation procedures. Our...

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Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range

Richard Gerlach and Cathy W. S. Chen.

in Journal of Financial Econometrics

December 2015; p ublished online August 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables; Econometric Modelling. 10832 words.

Intraday sources of data have proved to be effective for dynamic volatility and tail risk estimation. Expected shortfall (ES) is a tail risk measure, which is now recommended by the Basel...

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A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

Stefano Peluso, Fulvio Corsi and Antonietta Mira.

in Journal of Financial Econometrics

June 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling. 9833 words.

A multivariate positive definite estimator of the integrated covariance matrix of noisy and asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear Model where...

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Bayesian Specification Analysis in Econometrics

John Geweke and William McCausland.

in American Journal of Agricultural Economics

December 2001; p ublished online December 2001 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling. 0 words.

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