Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Violetta Dalla"'
Publikováno v:
Research Papers in Statistical Inference for Time Series and Related Models ISBN: 9789819908028
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c32a015303fafb843a40e175b053a01
https://doi.org/10.1007/978-981-99-0803-5_6
https://doi.org/10.1007/978-981-99-0803-5_6
Publikováno v:
Journal of Econometrics. 219:281-313
The paper develops point estimation and asymptotic theory with respect to a semiparametric model for time series with moving mean and unconditional heteroscedasticity. These two features are modelled nonparametrically, whereas autocorrelations are de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85ab92409bfbd5af28551cc329e34014
https://doi.org/10.1016/j.jeconom.2020.03.005
https://doi.org/10.1016/j.jeconom.2020.03.005
Publikováno v:
Journal of Corporate Finance. 46:248-260
The recent global financial crisis has triggered questions in the scientific area of capital structure dynamic determination regarding how “quickly” companies tend to adjust their capital structure to their long-term targets, in different macroec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62c01385abe507b19733caaeef66cbea
https://doi.org/10.1016/j.jcorpfin.2017.07.005
https://doi.org/10.1016/j.jcorpfin.2017.07.005
Publikováno v:
Communications in Statistics - Simulation and Computation. 46:2733-2755
We consider estimation and goodness-of-fit tests in GARCH models with innovations following a heavy-tailed and possibly asymmetric distribution. Although the method is fairly general and applies to GARCH models with arbitrary innovation distribution,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c51fc33b2edcd343eb4a22836e47c85f
https://doi.org/10.1080/03610918.2015.1060332
https://doi.org/10.1080/03610918.2015.1060332
Publikováno v:
SSRN Electronic Journal.
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e567f7e29cfd5d7f7297d2cbf7bd6973
https://doi.org/10.2139/ssrn.3447560
https://doi.org/10.2139/ssrn.3447560
Publikováno v:
Journal of Time Series Analysis. 35:151-172
This article presents a general method for studentizing weighted sums of a linear process where weights are arrays of known real numbers and innovations form a martingale difference sequence. Asymptotical normality for such sums was established in Ab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8b28313abd8f0baecb50f9769b59823
https://doi.org/10.1111/jtsa.12056
https://doi.org/10.1111/jtsa.12056
Autor:
Violetta Dalla, Javier Hidalgo
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783319415819
The paper examines a test for smoothness/breaks in a nonparametric regression model with dependent data. The test is based on the supremum of the difference between the one-sided kernel regression estimates. When the errors of the model exhibit stron
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f9458b9ea468451e3f9cdf15138a1a3
https://doi.org/10.1007/978-3-319-41582-6_3
https://doi.org/10.1007/978-3-319-41582-6_3
Publikováno v:
Acta Applicandae Mathematicae. 97:163-175
We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::523a779fb7ecdeecd3add4d4d651ee63
https://doi.org/10.1007/s10440-007-9128-8
https://doi.org/10.1007/s10440-007-9128-8
Autor:
Violetta Dalla
Different power transformations of absolute returns of various financial assets have been found to display different magnitudes of sample autocorrelations, a property referred to as the Taylor effect. In this paper, we consider the long memory stocha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32614193ed090bb30ae4188c1118d2e7
https://pergamos.lib.uoa.gr/uoa/dl/object/uoadl:2979929
https://pergamos.lib.uoa.gr/uoa/dl/object/uoadl:2979929