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The stochastic fluctuation of the quantile regression curve

Härdle, Wolfgang Karl; Song, Song - 2008

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

Persistent link: https://www.econbiz.de/10010274144

Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe

Brüggemann, Ralf; Lütkepohl, Helmut - 2005

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations … parity the difference between the U.S. and euro area longterm interest rates should also be stationary. If all four interest … of four interest rate series. Combining German and European Monetary Union data to obtain the euro area interest rate …

Persistent link: https://www.econbiz.de/10010263590

Are CEOs in family firms paid like bureaucrats? Evidence from Bayesian and frequentist analyses

Block, Jörn Hendrich - 2008

The relationship between CEO pay and performance has been much analyzed in the management and economics literature. This study analyzes the structure of executive compensation in family and non-family firms. In line with predictions of agency theory, it is found that the share of base salary is...

Persistent link: https://www.econbiz.de/10010263730

Simultaneous stochastic volatility transmission across American equity markets

Weber, Enzo - 2008

solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …

Persistent link: https://www.econbiz.de/10010263740

Depression econometrics: A FAVAR model of monetary policy during the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

Persistent link: https://www.econbiz.de/10010270715

What are the effects of fiscal policy shocks?

Mountford, Andrew; Uhlig, Harald - 2005

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional...

Persistent link: https://www.econbiz.de/10010263594

Structural constant conditional correlation

Weber, Enzo - 2008

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Persistent link: https://www.econbiz.de/10010263718

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10010263750

Structural dynamic conditional correlation

Weber, Enzo - 2008

). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples. …

Persistent link: https://www.econbiz.de/10010263754

A brand specific investigation of international cost shock threats on price and margin with a manufacturer-wholesaler-retailer model

Dannewald, Till; Hildebrandt, Lutz - 2008

In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating production to the US, or employing financial remedies, these strategies may...

Persistent link: https://www.econbiz.de/10010263755