20 research outputs found
Uspešnost izvajanja javnih del na primeru projektne pisarne Celje - zdravo mesto
A new representation of the diagonal Vech model is given using the Hadamard product. Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of covariance matrices from the new representation. Based on this, some new and simple models are discussed. A set of diagnostic tests for multivariate ARCH models is proposed. The tests are able to detect various model misspecifications by examing the orthogonality of the squared normalized residuals. A small Monte-Carlo study is carried out to check the small sample performance of the test. An empirical example is also given as guidance for model estimation and selection in the multivariate framework. For the specific data set considered, it is found that the simple one and two parameter models and the constant conditional correlation model perform fairly well
Some Properties of Absolute Return: An Alternative Measure of Risk
The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the autocorrelations decline slowly for all positive ? but this "long-memory" property is strongest for ? = 1, the absolute return. The moments of absolute returns, after removal of a few outliers, suggest that an exponential distribution is appropriate.