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The Likelihood Function Of A Conditionally Heteroskedastic Factor Model With Heywood Cases
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Book Synopsis The likelihood function of a conditionally heteroskedastic factor model with heywood cases by : Enrique Sentana
Download or read book The likelihood function of a conditionally heteroskedastic factor model with heywood cases written by Enrique Sentana and published by . This book was released on 1994 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases by : Enrique Sentana
Download or read book The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases written by Enrique Sentana and published by . This book was released on 1994 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditionally Heteroskedastic Factor Models by : Catherine Doz
Download or read book Conditionally Heteroskedastic Factor Models written by Catherine Doz and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditionally Heteroskedastic Factor Models : Identification and Instrumental Variables Estimation by : Renault, Éric
Download or read book Conditionally Heteroskedastic Factor Models : Identification and Instrumental Variables Estimation written by Renault, Éric and published by Montréal : CIRANO. This book was released on 2004 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An em-based algorith for conditionally heteroskedastic factor models by : Enrique Sentana
Download or read book An em-based algorith for conditionally heteroskedastic factor models written by Enrique Sentana and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models by : Maddalena Cavicchioli
Download or read book Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models written by Maddalena Cavicchioli and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we give simple matrix formulae for maximum likelihood estimates of parameters in a broad class of vector autoregressions subject to Markovian changes in regime. This allows us to determine explicitly the asymptotic variance-covariance matrix of the estimators, giving a concrete possibility for the use of the classical testing procedures. In the context of multivariate autoregressive conditional heteroskedastic models with changes in regime, we provide formulae for the analytic derivatives of the log likelihood. Then we prove the consistency of some maximum likelihood estimators and give some formulae for the asymptotic variance of the different estimators.
Book Synopsis Annales d'économie et de statistique by :
Download or read book Annales d'économie et de statistique written by and published by . This book was released on 2000 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity by : Whitney K. Newey
Download or read book Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity written by Whitney K. Newey and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually all empirical studies that assume a time-varying conditional variance use a quasi-maximum likelihood estimator (QMLE). If the density from which the likelihood is constructed is assumed to be Gaussian, the QMLE is known to be consistent under correct specification of both the conditional mean and conditional variance. We show that if both the assumed density and the true density are symmetric a QMLE remains consistent. If, however, either the assumed density or the true density is asymmetric, a QMLE is generally not consistent. To ensure that a QMLE is consistent under asymmetric densities, we include the conditional standard deviation as a regressor. We calculate the efficiency loss associated with the added regressor if the densities are symmetric and show that for a QMLE of the conditional variance parameters of a GARCH process there is no efficiency loss. Finally, we develop a test of consistency of a QMLE from the significance of the additional regressor.
Book Synopsis Composite-Based Structural Equation Modeling by : Jörg Henseler
Download or read book Composite-Based Structural Equation Modeling written by Jörg Henseler and published by Guilford Publications. This book was released on 2020-12-24 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents powerful tools for integrating interrelated composites--such as capabilities, policies, treatments, indices, and systems--into structural equation modeling (SEM). Jörg Henseler introduces the types of research questions that can be addressed with composite-based SEM and explores the differences between composite- and factor-based SEM, variance- and covariance-based SEM, and emergent and latent variables. Using rich illustrations and walked-through data sets, the book covers how to specify, identify, estimate, and assess composite models using partial least squares path modeling, maximum likelihood, and other estimators, as well as how to interpret findings and report the results. Advanced topics include confirmatory composite analysis, mediation analysis, second-order constructs, interaction effects, and importance–performance analysis. Most chapters conclude with software tutorials for ADANCO and the R package cSEM. The companion website includes data files and syntax for the book's examples, along with presentation slides.
Book Synopsis Current Index to Statistics, Applications, Methods and Theory by :
Download or read book Current Index to Statistics, Applications, Methods and Theory written by and published by . This book was released on 1987 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Book Synopsis Econometrics in Theory and Practice by : Panchanan Das
Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Book Synopsis Portfolio Diversification by : Francois-Serge Lhabitant
Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification
Book Synopsis Handbook of Quantitative Methods for Educational Research by : Timothy Teo
Download or read book Handbook of Quantitative Methods for Educational Research written by Timothy Teo and published by Springer Science & Business Media. This book was released on 2014-02-07 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: As part of their research activities, researchers in all areas of education develop measuring instruments, design and conduct experiments and surveys, and analyze data resulting from these activities. Educational research has a strong tradition of employing state-of-the-art statistical and psychometric (psychological measurement) techniques. Commonly referred to as quantitative methods, these techniques cover a range of statistical tests and tools. Quantitative research is essentially about collecting numerical data to explain a particular phenomenon of interest. Over the years, many methods and models have been developed to address the increasingly complex issues that educational researchers seek to address. This handbook serves to act as a reference for educational researchers and practitioners who desire to acquire knowledge and skills in quantitative methods for data analysis or to obtain deeper insights from published works. Written by experienced researchers and educators, each chapter in this handbook covers a methodological topic with attention paid to the theory, procedures, and the challenges on the use of that particular methodology. It is hoped that readers will come away from each chapter with a greater understanding of the methodology being addressed as well as an understanding of the directions for future developments within that methodological area.
Book Synopsis Applied Spatial Data Analysis with R by : Roger S. Bivand
Download or read book Applied Spatial Data Analysis with R written by Roger S. Bivand and published by Springer Science & Business Media. This book was released on 2013-06-21 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Spatial Data Analysis with R, second edition, is divided into two basic parts, the first presenting R packages, functions, classes and methods for handling spatial data. This part is of interest to users who need to access and visualise spatial data. Data import and export for many file formats for spatial data are covered in detail, as is the interface between R and the open source GRASS GIS and the handling of spatio-temporal data. The second part showcases more specialised kinds of spatial data analysis, including spatial point pattern analysis, interpolation and geostatistics, areal data analysis and disease mapping. The coverage of methods of spatial data analysis ranges from standard techniques to new developments, and the examples used are largely taken from the spatial statistics literature. All the examples can be run using R contributed packages available from the CRAN website, with code and additional data sets from the book's own website. Compared to the first edition, the second edition covers the more systematic approach towards handling spatial data in R, as well as a number of important and widely used CRAN packages that have appeared since the first edition. This book will be of interest to researchers who intend to use R to handle, visualise, and analyse spatial data. It will also be of interest to spatial data analysts who do not use R, but who are interested in practical aspects of implementing software for spatial data analysis. It is a suitable companion book for introductory spatial statistics courses and for applied methods courses in a wide range of subjects using spatial data, including human and physical geography, geographical information science and geoinformatics, the environmental sciences, ecology, public health and disease control, economics, public administration and political science. The book has a website where complete code examples, data sets, and other support material may be found: http://www.asdar-book.org. The authors have taken part in writing and maintaining software for spatial data handling and analysis with R in concert since 2003.
Book Synopsis Portfolio Performance Evaluation by : George O. Aragon
Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Book Synopsis Large Dimensional Factor Analysis by : Jushan Bai
Download or read book Large Dimensional Factor Analysis written by Jushan Bai and published by Now Publishers Inc. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Book Synopsis Business and Consumer Analytics: New Ideas by : Pablo Moscato
Download or read book Business and Consumer Analytics: New Ideas written by Pablo Moscato and published by Springer. This book was released on 2019-05-30 with total page 1005 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume handbook presents a collection of novel methodologies with applications and illustrative examples in the areas of data-driven computational social sciences. Throughout this handbook, the focus is kept specifically on business and consumer-oriented applications with interesting sections ranging from clustering and network analysis, meta-analytics, memetic algorithms, machine learning, recommender systems methodologies, parallel pattern mining and data mining to specific applications in market segmentation, travel, fashion or entertainment analytics. A must-read for anyone in data-analytics, marketing, behavior modelling and computational social science, interested in the latest applications of new computer science methodologies. The chapters are contributed by leading experts in the associated fields.The chapters cover technical aspects at different levels, some of which are introductory and could be used for teaching. Some chapters aim at building a common understanding of the methodologies and recent application areas including the introduction of new theoretical results in the complexity of core problems. Business and marketing professionals may use the book to familiarize themselves with some important foundations of data science. The work is a good starting point to establish an open dialogue of communication between professionals and researchers from different fields. Together, the two volumes present a number of different new directions in Business and Customer Analytics with an emphasis in personalization of services, the development of new mathematical models and new algorithms, heuristics and metaheuristics applied to the challenging problems in the field. Sections of the book have introductory material to more specific and advanced themes in some of the chapters, allowing the volumes to be used as an advanced textbook. Clustering, Proximity Graphs, Pattern Mining, Frequent Itemset Mining, Feature Engineering, Network and Community Detection, Network-based Recommending Systems and Visualization, are some of the topics in the first volume. Techniques on Memetic Algorithms and their applications to Business Analytics and Data Science are surveyed in the second volume; applications in Team Orienteering, Competitive Facility-location, and Visualization of Products and Consumers are also discussed. The second volume also includes an introduction to Meta-Analytics, and to the application areas of Fashion and Travel Analytics. Overall, the two-volume set helps to describe some fundamentals, acts as a bridge between different disciplines, and presents important results in a rapidly moving field combining powerful optimization techniques allied to new mathematical models critical for personalization of services. Academics and professionals working in the area of business anyalytics, data science, operations research and marketing will find this handbook valuable as a reference. Students studying these fields will find this handbook useful and helpful as a secondary textbook.
