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The "wrong skewness" problem : a re-specification of stochastic frontiers
Bonanno, Graziella; Giovanni, Domenico de; Domma, Filippo - In: Journal of productivity analysis 47 (2017) 1, pp. 49-64
Persistent link: https://www.econbiz.de/10011741310
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On subcopula estimation for discrete models
Tasena, Santi - In: Asian journal of economics and banking : AJEB 5 (2021) 2, pp. 102-110
Purpose - To discuss subcopula estimation for discrete models. Design/methodology/approach - The convergence of estimators is considered under the weak convergence of distribution functions and its equivalent properties known in prior works. Findings - The domain of the true subcopula associated...
Persistent link: https://www.econbiz.de/10012694803
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and … balanced panel case, several models describing the evolution of the inefficiency over time and the dependence between the two … error terms. The inefficiency and noise terms being dependent, a copula function which reflects the dependence between them …
Persistent link: https://www.econbiz.de/10012816131
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Productive efficiency analysis of quantitative economics journals through stochastic frontier analysis using panel data
Gavilan Ruiz, José Manuel; Ortega Irizo, Francisco Javier - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 297-311
The main goal of a scientific journal is to diffuse new knowledge. The number of citations received by a journal can be considered as a measure of this objective and, in turn, as a measure of productivity in relation to the production process in which the journals are involved. In order to...
Persistent link: https://www.econbiz.de/10012437397
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Estimation of holding periods applied to the case of short and leveraged ETFs
Schubert, Leo; Schubert, David - In: Atlantic review of economics : AROE 1 (2017)
The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the...
Persistent link: https://www.econbiz.de/10011890392
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A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
Zu, Yang - In: Econometrics : open access journal 3 (2015) 3, pp. 561-576
This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...
Persistent link: https://www.econbiz.de/10011297541
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Network-based macro fluctuations : what about an open economy?
Constantinescu, Mihnea; Barauskaite, Kristina - In: Baltic journal of economics 18 (2018) 2, pp. 95-117
Do input-output linkages of intermediate products affect the spread of sectoral shocks at the aggregate level in Lithuania, a small and open economy? What role does openness play in the empirical exercise? We answer these questions by: (i) constructing the Lithuanian input-output transactions...
Persistent link: https://www.econbiz.de/10012010269
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Parametric inference for index functionals
Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 6 (2018) 2, pp. 1-11
In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...
Persistent link: https://www.econbiz.de/10011823357
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...
Persistent link: https://www.econbiz.de/10009673701
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Desempeño del número de empleos en tiempos de COVID-19 en dos estados mexicanos con distinta vocación económica
Lagunas Puls, Sergio - In: Revista de métodos cuantitativos para la economía y … 33 (2022), pp. 14-28
El objetivo de este artículo es medir el desempeño del trabajo formal en dos estados de México con vocación económica distinta: Quintana Roo cuya actividad principal es el turismo y Aguascalientes con actividad principalmente industrial. El trabajo se inicia presentando el contexto laboral...
Persistent link: https://www.econbiz.de/10013336020