DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS An Improved Method for Bandwidth Selection When Estimating ROC Curves

DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Estimation of Hyperbolic Diffusion Using MCMC Method

In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining aut...

Instrument-free Identification and Estimation of Differentiated Products Models using Cost Data∗

This paper proposes a methodology for jointly estimating the demand and cost functions of differentiated goods oligopoly models when demand and cost data are available. The method deals with the endogeneity of prices to unobserved product quality in the demand function, as well as the endogeneity of output to unobserved cost shocks in firms’ cost functions. Our method does not, however, require...

Australia Department of Econometrics and Business Statistics The Power Principle and Tail - Fatness Uncertainty Roger

The World of Funds of Funds

** Prof. Svetlozar T. Rachev (Corresponding Author): Institute for Statistics and Mathematical Economics, University of Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA. // Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe, Kollegium am Schloss, Bau ...

DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Bayesian Analysis of the Stochastic Conditional Duration Model

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms, with the latent vector ...