Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Elysée Aristide Houndetoungan"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cad38f5a858b134cf13c9b254141cf6f
https://doi.org/10.2139/ssrn.4448048
https://doi.org/10.2139/ssrn.4448048
Publikováno v:
Journal of Financial Econometrics. 20:762-805
Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8cfa3792b2c52ae98f082c6d90e69f23
https://doi.org/10.1093/jjfinec/nbaa032
https://doi.org/10.1093/jjfinec/nbaa032
Publikováno v:
SSRN Electronic Journal.
I present a peer effects model for count data using a static game of incomplete information. I provide sufficient conditions under which the game equilibrium is unique. I estimate the model's parameters using the Nested Partial Likelihood approach an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7eece54ac4c27729f0e6fbeeb85a4efe
https://doi.org/10.2139/ssrn.3721250
https://doi.org/10.2139/ssrn.3721250
Publikováno v:
SSRN Electronic Journal.
Change-point processes are one flexible approach to model long time series. We propose a method to uncover which model parameter truly vary when a change-point is detected. Given a set of breakpoints, we use a penalized likelihood approach to select
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::671237616a18ee77156aab612a20a83f
https://doi.org/10.2139/ssrn.3461554
https://doi.org/10.2139/ssrn.3461554