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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
(Taylor & Francis Inc, 2016-08-08)
In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ...
Solving the migration–recombination equation from a genealogical point of view
(Springer Heidelberg, 2021)
We consider the discrete-time migration–recombination equation, a deterministic,
nonlinear dynamical system that describes the evolution of the genetic type distribution
of a population evolving under migration and ...
Quasi-stationary distributions and diffusion models in population dynamics
(2009)
In this paper we study quasi-stationarity for a large class of Kolmogorov
diffusions. The main novelty here is that we allow the drift to go to−∞at the
origin, and the diffusion to have an entrance boundary at +∞. These ...
A (semi-)parametric functional coefficient autoregressive conditional duration model
(2013-12-09)
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient ...
Quasi-Newton acceleration for equality-constrained minimization
(SpringerNew YorkEUA, 2008)
Purchasing power parity and the unit root tests: a robust analysis
(Escola de Pós-Graduação em Economia da FGV, 2004-07-01)
Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott ...
A class of asymptotically normal degenerate quasi U-statistics
(Springer HeidelbergHeidelbergAlemanha, 2011)