Ordinary Least Squares (OLS) estimation of monetary policy rules produces potentially inconsistent estimates of policy parameters. The reason is that central banks react to variables, such as ...
Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 34, No. 4 (Dec., 1972), pp. 395-404 (10 pages) This paper contains a method of determining the distribution function of the ...
This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...
This paper provides Monte Carlo results for the performance of the method of moments (MM), maximum likelihood (ML) and ordinary least squares (OLS) estimators of the credit loss distribution implied ...
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