Titlebook: Recent Econometric Techniques for Macroeconomic and Financial Data; Gilles Dufrénot,Takashi Matsuki Book 2021 Springer Nature Switzerland

hemoglobin

Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europe REIT markets over the period 2009–2019 via a two-factor model. We evaluate the performance of the different techniques in terms of in-sample estimat

Archipelago

HEW

Cycles and Long-Range Behaviour in the European Stock Markets(zero) frequency and the other to the cyclical (nonzero) frequency. The adopted specification is very general, since it allows for fractional integration with stochastic patterns at the zero and cyclical frequencies and includes both long-memory and short-memory components. The cyclical patterns are

nitroglycerin

裁决

无孔

Pareto Models for Risk Managementsk, expected shortfall) or reinsurance premiums and related quantities (large claim index, return period). Nevertheless, in practice, distributions are (strictly) Pareto only in the tails, above (possible very) large threshold. Therefore, it could be interesting to take into account second-order beh

impaction

MULTI

Revisiting the Glick–Rogoff Current Account Model: An Application to the Current Accounts of BRICS Ce 1970s and 1980s. However, the Glick–Rogoff model fits poorly when it is applied to fast-growing BRICS countries for the period including the global financial crisis. We conclude that different mechanisms of current accounts work for developed and developing countries.

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Pareto Models for Risk Managementavior to provide a better fit. In this article, we present how to go from a strict Pareto model to Pareto-type distributions. We discuss inference, derive formulas for various measures and indices, and finally provide applications on insurance losses and financial risks.

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