Zobrazeno 1 - 9
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pro vyhledávání: '"PAKEL, Cavit"'
Autor:
Pakel, Cavit, Weidner, Martin
In discrete choice panel data, the estimation of average effects is crucial for quantifying the effect of covariates, and for policy evaluation and counterfactual analysis. This task is challenging in short panels with individual-specific effects due
Externí odkaz:
http://arxiv.org/abs/2309.09299
Autor:
Pakel, Cavit
This thesis is concerned with volatility estimation using financial panels and bias-reduction in non-linear dynamic panels in the presence of dependence. Traditional GARCH-type volatility models require large time-series for accurate estimation. This
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571665
Autor:
Pakel, Cavit1 (AUTHOR), Shephard, Neil2,3 (AUTHOR), Sheppard, Kevin4 (AUTHOR), Engle, Robert F.5 (AUTHOR)
Publikováno v:
Journal of Business & Economic Statistics. Jul2021, Vol. 39 Issue 3, p652-668. 17p.
Autor:
PAKEL, Cavit1 cavit.pakel@bilkent.edu.tr, ÖZEN, Kadir2 kadir.ozen@barcelonagse.eu
Publikováno v:
Marmara University Journal of Economic & Administrative Sciences. dec2020, Vol. 42 Issue 2, p340-360. 21p.
Publikováno v:
Statistica Sinica, 2011 Jan 01. 21(1), 307-329.
Externí odkaz:
https://www.jstor.org/stable/24309273
Akademický článek
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Autor:
Cavit Pakel
Publikováno v:
Journal of Econometrics
Fixed effects estimation of nonlinear dynamic panel models is subject to the incidental parameter issue, leading to a biased asymptotic distribution. While this problem has been studied extensively in the literature, a general analysis allowing for b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2bdb52c2b582e8d14974f9a8b26fb5cd
https://doi.org/10.1016/j.jeconom.2019.05.020
https://doi.org/10.1016/j.jeconom.2019.05.020
Publikováno v:
Journal of Business and Economic Statistics
Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose. Estimation of such models is computationally costly and parameter estimates are meaningfull
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3b1418c42ea168bf4ebe443f8dd05f63
https://ora.ox.ac.uk/objects/uuid:d8dc86c2-e7de-4571-ab59-4a524a636f43
https://ora.ox.ac.uk/objects/uuid:d8dc86c2-e7de-4571-ab59-4a524a636f43