Computational Statistics & Data Analysis

1

An efficient method of estimating the true value of a population characteristic from its discrepant estimates

P.A.V.B. Swamy, Jatinder S. Mehta, I-Lok Chang, T.S. Zimmerman

Journal:

Year:

2009

Language:

english

File:

PDF, 657 KB

english, 2009

2

Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria

Tomohiro Ando

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.24 MB

english, 2009

3

Asymmetric multivariate normal mixture GARCH

Markus Haas, Stefan Mittnik, Marc S. Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 2.22 MB

english, 2009

4

Functional modelling of volatility in the Swedish limit order book

Suad Elezović

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.05 MB

english, 2009

5

Efficient estimation of copula-GARCH models

Yan Liu, Richard Luger

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 683 KB

english, 2009

6

The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study

Dean Fantazzini

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 765 KB

english, 2009

7

Solving models with inequalities using standard econometric software

Arie ten Cate

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 285 KB

english, 2009

8

Implied volatility in oil markets

Svetlana Borovkova, Ferry J. Permana

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 2.99 MB

english, 2009

9

Efficient importance sampling for ML estimation of SCD models

L. Bauwens, F. Galli

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 2.03 MB

english, 2009

10

Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution

Emanuele Taufer, Nikolai Leonenko

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 791 KB

english, 2009

11

Online analysis of time series by the estimator

Robin Nunkesser, Roland Fried, Karen Schettlinger, Ursula Gather

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.20 MB

english, 2009

12

Information importance of predictors: Concept, measures, Bayesian inference, and applications

J.J. Retzer, E.S. Soofi, R. Soyer

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.33 MB

english, 2009

13

Leverage, heavy-tails and correlated jumps in stochastic volatility models

Jouchi Nakajima, Yasuhiro Omori

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.32 MB

english, 2009

14

Finite sample multivariate tests of asset pricing models with coskewness

Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 937 KB

english, 2009

15

Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Josu Arteche, Jesus Orbe

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 818 KB

english, 2009

16

Indirect estimation of elliptical stable distributions

Marco J. Lombardi, David Veredas

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.73 MB

english, 2009

17

Robust PCA for skewed data and its outlier map

Mia Hubert, Peter Rousseeuw, Tim Verdonck

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.49 MB

english, 2009

18

Semiparametric multivariate density estimation for positive data using copulas

T. Bouezmarni, J.V.K. Rombouts

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.92 MB

english, 2009

19

Optimal tests against the alternative hypothesis of panel unit roots

Yonghee Lee, Dong Wan Shin

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 717 KB

english, 2009

20

Simulated minimum Hellinger distance estimation of stochastic volatility models

Teruko Takada

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.06 MB

english, 2009

21

Flexible estimation of wage distributions in the presence of covariates

Antonia Febrer, Juan Mora

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.35 MB

english, 2009

22

The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

Carl Chiarella, Hing Hung, Thuy-Duong Tô

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.26 MB

english, 2009

23

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.97 MB

english, 2009

24

Bootstrapping long memory tests: Some Monte Carlo results

A. Murphy, M. Izzeldin

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 540 KB

english, 2009

25

Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity

Baoline Chen, Peter A. Zadrozny

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.55 MB

english, 2009

26

Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

Gianna Figà-Talamanca

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 3.00 MB

english, 2009

27

A new approach to bootstrap inference in functional coefficient models

H. Herwartz, F. Xu

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 814 KB

english, 2009

28

A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

Luigi Grossi, Fabrizio Laurini

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.15 MB

english, 2009

29

New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank

J.D. Godolphin

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 679 KB

english, 2009

30

A genetic algorithm estimation of the term structure of interest rates

Ricardo Gimeno, Juan M. Nave

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.74 MB

english, 2009

31

Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure

Dietmar Bauer, Martin Wagner

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 3.33 MB

english, 2009

32

Calibration of a path-dependent volatility model: Empirical tests

Paolo Foschi, Andrea Pascucci

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.74 MB

english, 2009

33

Type I and type II fractional Brownian motions: A reconsideration

James Davidson, Nigar Hashimzade

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.30 MB

english, 2009

34

Indirect estimation of -stable stochastic volatility models

Marco J. Lombardi, Giorgio Calzolari

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 821 KB

english, 2009

35

Bayesian causal effects in quantiles: Accounting for heteroscedasticity

Cathy W.S. Chen, Richard Gerlach, D.C.M. Wei

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 1.62 MB

english, 2009

36

The fourth special issue on Computational Econometrics

David A. Belsley, Russell Davidson, Erricos John Kontoghiorghes, James G. MacKinnon, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 188 KB

english, 2009

37

Editorial Board

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 195 KB

english, 2009

38

Volume 53; Issue 6

Computational Statistics & Data Analysis

An efficient method of estimating the true value of a population characteristic from its discrepant estimates

Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria

Asymmetric multivariate normal mixture GARCH

Functional modelling of volatility in the Swedish limit order book

Efficient estimation of copula-GARCH models

The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study

Solving models with inequalities using standard econometric software

Implied volatility in oil markets

Efficient importance sampling for ML estimation of SCD models

Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution

Online analysis of time series by the estimator

Information importance of predictors: Concept, measures, Bayesian inference, and applications

Leverage, heavy-tails and correlated jumps in stochastic volatility models

Finite sample multivariate tests of asset pricing models with coskewness

Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Indirect estimation of elliptical stable distributions

Robust PCA for skewed data and its outlier map

Semiparametric multivariate density estimation for positive data using copulas

Optimal tests against the alternative hypothesis of panel unit roots

Simulated minimum Hellinger distance estimation of stochastic volatility models

Flexible estimation of wage distributions in the presence of covariates

The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Bootstrapping long memory tests: Some Monte Carlo results

Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity

Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

A new approach to bootstrap inference in functional coefficient models

A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank

A genetic algorithm estimation of the term structure of interest rates

Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure

Calibration of a path-dependent volatility model: Empirical tests

Type I and type II fractional Brownian motions: A reconsideration

Indirect estimation of -stable stochastic volatility models

Bayesian causal effects in quantiles: Accounting for heteroscedasticity

The fourth special issue on Computational Econometrics

Editorial Board

Contents