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Mostrando ítems 61-70 de 153
Essays in dynamic panel data econometrics
(2014-10-31)
Eu considero a estimação eficiente de um modelo de painel dinâmico com efeitos fixos, heteroscedasticidade temporal, condições iniciais arbitrárias e co-variáveis. Encontro uma estatística invariante máxima que pode ser ...
Pronóstico del precio de la energía en Colombia por medio de modelos GARCH y Redes Neuronales Recurrentes
(Universidad Santo TomásRregrado estadísticaFacultad de estadística, 2021-08-25)
The price of energy is a variable with high volatility due to the large number of influencing
factors that cause peaks and strong variations in certain periods, for this reason a model of the
price of energy will be ...
Univariate conditional distributions of an Open-Loop TAR stochastic process
(2016-07-01)
Clusters of large values are observed in sample paths of certain open-loop
threshold autoregressive (TAR) stochastic processes. In order to characterize
the stochastic mechanism that generates this empirical stylized ...
Essays in applied econometrics and monetary policy
(2018-06-19)
This thesis contains three independent chapters. The first one is about central bank credibility, where we measure people’s beliefs using survey data on inflation expectations and focus on the 12-month-ahead horizon since ...
Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during ...
Modelagem da volatilidade em séries temporais financeiras via modelos GARCH com abordagem bayesiana
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2017-07-18)
In the last decades volatility has become a very important concept in the financial area, being used
to measure the risk of financial instruments. In this work, the focus of study is the modeling of
volatility, that ...
Processos de markov ponderado-gama e modelagem de séries temporais inteiras multivariadas via cópulas
(Universidade Federal de Minas GeraisBrasilICX - DEPARTAMENTO DE ESTATÍSTICAPrograma de Pós-Graduação em EstatísticaUFMG, 2022-08-19)
In this work we propose two models for time series, motivated by financial market applications. First, we propose a Markov process for positive continuous series, driven by a gamma weight density, the weighted-gamma Markov ...
Estimación del modelo autorregresivo de umbrales cuando el proceso de ruido sigue una distribución de error generalizada
(Universidad Santo TomásPregrado EstadísticaFacultad de Estadística, 2016)
In this paper, TAR models with GED noise is considered. The likelihood function recursively
is identified and a Bayesian method for estimation of these models is developed when
the structural parameters are known. The ...
Regresión discontinua para análisis de causalidad con diseños de muestreo complejos
(Departamento de EstadísticaUniversidad Nacional de Colombia - Sede Bogotá, 2019-07-19)
En este trabajo titulado “Regresión discontinua para análisis de causalidad con diseños de muestreo complejos”, se hace la propuesta de un nuevo estimador teniendo en cuenta los pesos de muestreo para regresión discontinua, ...