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Avoid Filling Swiss Cheese with Whipped Cream

Avoid Filling Swiss Cheese with Whipped Cream »

Source: Avoid Filling Swiss Cheese with Whipped Cream : Imputation Techniques and Evaluation Procedures for Cross-Country Time Series

Volume/Issue: 2011/151

Series: IMF Working Papers

Author(s): Michael Weber , and Michaela Denk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455270507

Keywords: Missing or incomplete data, imputation quality, statistical matching, time series, missing data, algorithms, statistical methods, cluster analysis, Estimation, Model Evaluation and Selection

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may...

Avoid Filling Swiss Cheese with Whipped Cream
			: Imputation Techniques and Evaluation Procedures for Cross-Country Time Series

Avoid Filling Swiss Cheese with Whipped Cream : Imputation Techniques and Evaluation Procedures for Cross-Country Time Series »

Volume/Issue: 2011/151

Series: IMF Working Papers

Author(s): Michael Weber , and Michaela Denk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

DOI: http://dx.doi.org/10.5089/9781455270507.001

ISBN: 9781455270507

Keywords: Missing or incomplete data, imputation quality, statistical matching, time series, missing data, algorithms, statistical methods, cluster analysis, Estimation, Model Evaluation and Selection

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

DOI: http://dx.doi.org/10.5089/9781451855302.001

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Source: Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...