-
1
-
-
17644389572
-
An option pricing formula for the GARCH defusion model
-
doi:10.1016/j.csda.2004.05.014.
-
Barone-Adesi, G., Rasmussen, H., Ravanelli, C., 2005. An option pricing formula for the GARCH defusion model. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.014.
-
(2005)
Comput. Statist. Data Anal.
-
-
Barone-Adesi, G.1
Rasmussen, H.2
Ravanelli, C.3
-
2
-
-
0037471378
-
Likelihood-based inference for asymmetric stochastic volatility models
-
F. Bartolucci, and G. De Luca Likelihood-based inference for asymmetric stochastic volatility models Comput. Statist. Data Anal. 42 3 2003 445 449
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 445-449
-
-
Bartolucci, F.1
De Luca, G.2
-
4
-
-
0037471362
-
Independent multiresolution component analysis and matching pursuit
-
E. Capobianco Independent multiresolution component analysis and matching pursuit Comput. Statist. Data Anal. 42 3 2003 385 402
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 385-402
-
-
Capobianco, E.1
-
5
-
-
17644390635
-
Optimal aggregation of linear time series models
-
doi:10.1016/j.csda.2004.05.015
-
Chipman, J.S., Winker, P., 2005. Optimal aggregation of linear time series models. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.015.
-
(2005)
Comput. Statist. Data Anal.
-
-
Chipman, J.S.1
Winker, P.2
-
6
-
-
17644366833
-
Small-sample improvements in the statistical analysis of seasonally cointegrated systems
-
doi:10.1016/j.csda.2004.05.016.
-
Cubadda, G., Omtzigt, P., 2005. Small-sample improvements in the statistical analysis of seasonally cointegrated systems. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.016.
-
(2005)
Comput. Statist. Data Anal.
-
-
Cubadda, G.1
Omtzigt, P.2
-
7
-
-
0037471345
-
Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
-
J.A. Doornik, and M. Ooms Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models Comput. Statist. Data Anal. 42 3 2003 333 348
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 333-348
-
-
Doornik, J.A.1
Ooms, M.2
-
8
-
-
17644361966
-
Estimating confidence regions over bounded domains
-
doi:10.1016/j.csda.2004.05.017
-
Eklund, B., 2005. Estimating confidence regions over bounded domains. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.017.
-
(2005)
Comput. Statist. Data Anal.
-
-
Eklund, B.1
-
9
-
-
17644388493
-
Bootstrapping heteroskedastic regression models: Wild bootstrap vs. pairs bootstrap
-
doi:10.1016/j.csda.2004.05.018.
-
Flachaire, E., 2005. Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.018.
-
(2005)
Comput. Statist. Data Anal.
-
-
Flachaire, E.1
-
10
-
-
0011474513
-
A comparative study of algorithms for solving seemingly unrelated regressions models
-
P. Foschi, D.A. Belsley, and E.J. Kontoghiorghes A comparative study of algorithms for solving seemingly unrelated regressions models Comput. Statist. Data Anal. 44 1-2 2003 3 35
-
(2003)
Comput. Statist. Data Anal.
, vol.44
, Issue.1-2
, pp. 3-35
-
-
Foschi, P.1
Belsley, D.A.2
Kontoghiorghes, E.J.3
-
11
-
-
0037471367
-
Space-varying regression models: Specifications and simulation
-
D. Gamerman, A.R.B. Moreira, and H. Rue Space-varying regression models specifications and simulation Comput. Statist. Data Anal. 42 3 2003 513 533
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 513-533
-
-
Gamerman, D.1
Moreira, A.R.B.2
Rue, H.3
-
12
-
-
0037471364
-
A global optimization heuristic for estimating agent based models
-
M. Gilli, and P. Winker A global optimization heuristic for estimating agent based models Comput. Statist. Data Anal. 42 3 2003 299 312
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 299-312
-
-
Gilli, M.1
Winker, P.2
-
13
-
-
17644367160
-
Using the wild bootstrap to implement heteroskedasticity-robust tests for serial correlation in dynamic regression models
-
doi:10.1016/j.csda.2004.05.020.
-
Godfrey, L.G., Tremayne, A., 2005. Using the wild bootstrap to implement heteroskedasticity-robust tests for serial correlation in dynamic regression models. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.020.
-
(2005)
Comput. Statist. Data Anal.
-
-
Godfrey, L.G.1
Tremayne, A.2
-
14
-
-
17644412903
-
Computing estimates of continuous time macroeconometric models on the basis of discrete data
-
doi:10.1016/j.csda.2004.05.021.
-
Jewitt, G., McCrorie, J.R., 2005. Computing estimates of continuous time macroeconometric models on the basis of discrete data. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.021.
-
(2005)
Comput. Statist. Data Anal.
-
-
Jewitt, G.1
McCrorie, J.R.2
-
15
-
-
0141989611
-
Blup in the nested panel regression model with serially correlated errors
-
M. Jhun, S.G. Song, and B.C. Jung Blup in the nested panel regression model with serially correlated errors Comput. Statist. Data Anal. 44 1-2 2003 77 88
-
(2003)
Comput. Statist. Data Anal.
, vol.44
, Issue.1-2
, pp. 77-88
-
-
Jhun, M.1
Song, S.G.2
Jung, B.C.3
-
16
-
-
17644373084
-
Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
-
doi:10.1016/j.csda.2004.05.031.0
-
Joseph, A., Kiviet, J.F., 2005. Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.031.
-
(2005)
Comput. Statist. Data Anal.
-
-
Joseph, A.1
Kiviet, J.F.2
-
17
-
-
17644378740
-
Exact tests of the stability of the phillips curve: The Canadian case. Comput
-
doi:10.1016/j.csda.2004.05.022
-
Khalaf, L., Kichian, M., 2005. Exact tests of the stability of the phillips curve: the Canadian case. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.022.
-
(2005)
Statist. Data Anal.
-
-
Khalaf, L.1
Kichian, M.2
-
18
-
-
0037471346
-
On the performance of nonparametric specification tests in regression models
-
D. Miles, and J. Mora On the performance of nonparametric specification tests in regression models Comput. Statist. Data Anal. 42 3 2003 477 490
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 477-490
-
-
Miles, D.1
Mora, J.2
-
19
-
-
0037471372
-
An illustration of Cox's non-nested testing procedure for logit and probit models
-
C. Monfardini An illustration of Cox's non-nested testing procedure for logit and probit models Comput. Statist. Data Anal. 42 3 2003 425 444
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 425-444
-
-
Monfardini, C.1
-
20
-
-
0037471397
-
The mcmc and sml estimation of a self-selection model with two outcomes
-
M.K. Munkin The mcmc and sml estimation of a self-selection model with two outcomes Comput. Statist. Data Anal. 42 3 2003 403 424
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 403-424
-
-
Munkin, M.K.1
-
21
-
-
17644377926
-
Computational algorithms for double bootstrap confidence intervals
-
doi:10.1016/j.csda.2004.05.023.
-
Nankervis, J., 2005. Computational algorithms for double bootstrap confidence intervals. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05. 023.
-
(2005)
Comput. Statist. Data Anal.
-
-
Nankervis, J.1
-
22
-
-
0037471363
-
An algorithm to estimate time-varying parameter SURE models under different types of restriction
-
S. Orbe, E. Ferreira, and J. Rodriguez-Poo An algorithm to estimate time-varying parameter SURE models under different types of restriction Comput. Statist. Data Anal. 42 3 2003 363 383
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 363-383
-
-
Orbe, S.1
Ferreira, E.2
Rodriguez-Poo, J.3
-
23
-
-
0037471381
-
Computing moments of ratios of quadratic forms in normal variables
-
M.S. Paolella Computing moments of ratios of quadratic forms in normal variables Comput. Statist. Data Anal. 42 3 2003 313 331
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 313-331
-
-
Paolella, M.S.1
-
24
-
-
0037471416
-
Improved frequency selective filters
-
D.S.G. Pollock Improved frequency selective filters Comput. Statist. Data Anal. 42 3 2003 279 297
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 279-297
-
-
Pollock, D.S.G.1
-
25
-
-
0141993266
-
Recursive estimation in econometrics
-
D.S.G. Pollock Recursive estimation in econometrics Comput. Statist. Data Anal. 44 1-2 2003 37 75
-
(2003)
Comput. Statist. Data Anal.
, vol.44
, Issue.1-2
, pp. 37-75
-
-
Pollock, D.S.G.1
-
26
-
-
0037471404
-
Forecasting the US unemployment rate
-
T. Proietti Forecasting the US unemployment rate Comput. Statist. Data Anal. 42 3 2003 451 476
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 451-476
-
-
Proietti, T.1
-
27
-
-
17644394615
-
New algorithms for dating the business cycle
-
doi:10.1016/j.csda.2004.05.024.
-
Proietti, T., 2005. New algorithms for dating the business cycle. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.024.
-
(2005)
Comput. Statist. Data Anal.
-
-
Proietti, T.1
-
28
-
-
0037471365
-
Inference for negativist theory using numerically computed rejection regions
-
D.P. Reagle, and H.D. Vinod Inference for negativist theory using numerically computed rejection regions Comput. Statist. Data Anal. 42 3 2003 491 512
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 491-512
-
-
Reagle, D.P.1
Vinod, H.D.2
-
29
-
-
17644397048
-
Third-order inference for the Weibull distribution
-
doi:10.1016/j.csda.2004.05.025.
-
Rekkas, M., Wong, A., 2005. Third-order inference for the Weibull distribution. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.025.
-
(2005)
Comput. Statist. Data Anal.
-
-
Rekkas, M.1
Wong, A.2
-
30
-
-
17644398773
-
Simulation-based Bayesian estimation of affine term structure models
-
doi:10.1016/j.csda.2004.05.026.
-
Sanford, A.D., Martin, G.M., 2005. Simulation-based Bayesian estimation of affine term structure models. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.026.
-
(2005)
Comput. Statist. Data Anal.
-
-
Sanford, A.D.1
Martin, G.M.2
-
31
-
-
0037471371
-
An algorithm for computing estimators that optimize step functions
-
S. Skouras An algorithm for computing estimators that optimize step functions Comput. Statist. Data Anal. 42 3 2003 349 361
-
(2003)
Comput. Statist. Data Anal.
, vol.42
, Issue.3
, pp. 349-361
-
-
Skouras, S.1
-
32
-
-
17644375870
-
Comparison of semiparametric estimators for the ordered response model
-
doi:10.1016/j.csda.2004.05.027.
-
Stewart, M., 2005. A comparison of semiparametric estimators for the ordered response model. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004. 05.027.
-
(2005)
Comput. Statist. Data Anal.
-
-
Stewart, M.1
-
33
-
-
17644395667
-
How stable are monetary policy rules: Estimating the time-varying coefficients in monetary policy reaction function for the U.S.
-
doi:10.1016/j.csda.2004.05.028.
-
Swamy, P.A.V.B., Tavlas, G., Chang, I., 2005 How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the U.S. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.028.
-
(2005)
Comput. Statist. Data Anal.
-
-
Swamy, P.A.V.B.1
Tavlas, G.2
Chang, I.3
-
34
-
-
17644418766
-
An adaptive algorithm for least squares piecewise monotonic data fitting
-
doi:10.1016/j.csda.2004.05.029.
-
Vassiliou, E., Demetriou, I.C., 2005. An adaptive algorithm for least squares piecewise monotonic data fitting. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.029.
-
(2005)
Comput. Statist. Data Anal.
-
-
Vassiliou, E.1
Demetriou, I.C.2
-
35
-
-
4444345418
-
Applications of optimization heuristics to estimation and modelling problems
-
doi:10.1016/j.csda.2004.05.015.
-
Winker, P., Gilli, M., 2004. Applications of optimization heuristics to estimation and modelling problems. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.015.
-
(2004)
Comput. Statist. Data Anal.
-
-
Winker, P.1
Gilli, M.2
-
36
-
-
17644420014
-
Evaluating volatility forecasts in option pricing in the context of a simulated options market
-
doi:10.1016/j.csda.2004.05.030.
-
Xekalaki, E., Degiannakis, S., 2005. Evaluating volatility forecasts in option pricing in the context of a simulated options market. Comput. Statist. Data Anal., doi: 10.1016/j.csda.2004.05.030.
-
(2005)
Comput. Statist. Data Anal.
-
-
Xekalaki, E.1
Degiannakis, S.2
-
37
-
-
0141958565
-
Testing and dating of structural changes in practice
-
A. Zeileis, W. Krämer, C. Kleiber, and K. Hornik Testing and dating of structural changes in practice Comput. Statist. Data Anal. 44 1-2 2003 109 123
-
(2003)
Comput. Statist. Data Anal.
, vol.44
, Issue.1-2
, pp. 109-123
-
-
Zeileis, A.1
Krämer, W.2
Kleiber, C.3
Hornik, K.4
|