07350015%2E2014%2E972253
Teks penuh
Dokumen terkait
The classical statistical inference does not work for the ARCH-type time series if its fourth moment does not exist; see Zhu and Ling (2013).. This concept opens a new direction
We conduct a comprehensive empirical analysis of continuous-time models for equity index returns with the aim of investigating the properties of several widely used model
Our procedure results in tests statistics with asymptotic distribution depending only on the number of common trends under the null hypothesis of rank r, and on the interval of
Using results from copula theory, we derive a new representation that contains three types of components: (i) the “direct contribution” of each covariate due to
Herein, we define a nontrivial block Toeplitz matrix in the vein of Pe˜na and Rodr´ıguez ( 2002 ) and Mahdi and McLeod ( 2012 ) for use in the setting of testing for independence
Michael Bauer, Federal Reserve Bank of San Francisco.. Luc
Charles Evans, Federal Reserve Bank of Chicago Paul Evans, Ohio State Univ.. Heber Farnsworth, Washington
The cyclical behavior of optimal bank capital Arturo Estrella * Capital Markets Function, Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045-0001, USA Received 8
