Journal of Business & Economic Statistics articles from July 2002

Journal of Business & Economic Statistics archives from July 2002

Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes.(Statistical Data Included)
July 1, 2002... Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum...

Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models.(Statistical Data Included)
July 1, 2002... Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivariate models called...

A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations.(Statistical Data Included)
July 1, 2002... In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional...

Rolling-sample volatility estimators: some new theoretical, simulation, and empirical results.(Statistical Data Included)
July 1, 2002... We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated...

Conditional jump dynamics in stock market returns.(Statistical Data Included)
July 1, 2002... This article develops a new conditional jump model to study jump dynamics in stock market returns. We propose a simple filter to infer ex post the distribution of jumps. This permits construction of the shock affecting the time t conditional...

Volatility, momentum, and time-varying skewness in foreign exchange returns.(Statistical Data Included)
July 1, 2002... This article tests a stochastic volatility model of exchange rates that links both the level of volatility and its instantaneous covariance with returns to pathwise properties of the currency. In particular, the model implies that the...

Semiparametric smooth coefficient models.(Statistical Data Included)
July 1, 2002... In this article, we propose a semiparametric smooth coefficient model as a useful yet flexible specification for studying a general regression relationship with varying coefficients. The article proposes a local least squares method with a...

Reanalyzing ultimatum bargaining--comparing nondecreasing curves without shape constraints.(Statistical Data Included)
July 1, 2002... We employ a hierarchical Bayesian method with exchangeable prior distributions to estimate and compare similar nondecreasing response curves. A Dirichlet process distribution is assigned to each of the response curves as a first stage prior. A...

Efficiency of covariance matrix estimators for maximum likelihood estimation.(Statistical Data Included)
July 1, 2002... When econometric models are estimated by maximum likelihood, the conditional information matrix variance estimator is usually avoided in choosing a method for estimating the variance of the parameter estimate. However, the conditional...