Rearranging Edgeworth-Cornish-Fisher Expansions

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the distribution and quantile functions of the sample mean than the original Edgeworth-Cornish-Fisher expansions.Comment: 17 pages, 3 figure

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</p

Maximum likelihood and Gaussian estimation of continuous time models in finance

Ministry of Education, Singapore under its Academic Research Funding Tier

Methodology interference and modelling in economics

LD:8318.1708(SSRC-B--00/24/0011) / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo

The effect of oil exchange receipts on import in the Islamic Republic of Iran

This paper examines the determinants of aggregate imports in Iran between 1960 and 2000. With respect to the fact that the Islamic Republic of Iran is an oil-exporting country, and most foreign exchange earnings result from oil export, recent study variable of oil exchange receipts to variables of traditional import demand function is added. Quantitative estimates, based on multivariate and univariate co-integration analysis, indicate that oil exchange receipts, real income and relative prices all significantly determine the behaviour of total import in the long-run. Findings also show that the income elasticity generally is within the range of 0.58 to 0.76. On the other hand, relative prices elasticity is within the range of - 0.56 to - 0.67. Additionally, we have used an error correction model to show the behaviour of import demand function in the short-run. Finally, our analysis show that oil exchange receipts, as well as real income and relative prices, play a remarkable role in shaping import behaviour both in the long-run and short-run. Copyright 2006 Organization of the Petroleum Exporting Countries.