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Quadratic M-Estimators for ARCH-Type Processes
(Université de Montréal. Département de sciences économiques., 1998)
This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. ...
Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices
(Université de Montréal. Département de sciences économiques., 1998)
We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both ...
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
(Université de Montréal. Département de sciences économiques., 1998)
This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the ...
Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
(Université de Montréal. Département de sciences économiques., 1998)
We consider the problem of accessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two ...