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A class of binary response models for grouped duration data (replication data)
This paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications... -
Forecasting exchange rates using feedforward and recurrent neural networks (r...
In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step... -
Maximum likelihood estimation of a GARCH-stable model (replication data)
Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution... -
Testing for homogeneity in demand systems when the regressors are nonstationa...
An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has...
