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Optimal policy under model uncertainty : a structural-bayesian estimation approach
Kriwoluzky, Alexander (contributor);  … - 2007
In this paper we propose a novel methodology to analyze optimal policies under model uncertainty in micro-founded macroeconomic models. As an application we assess the relevant sources of uncertainty for the optimal conduct of monetary policy within (parameter uncertainty) and across models...
Persistent link: https://www.econbiz.de/10003634006
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang (contributor);  … - 2006
The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...
Persistent link: https://www.econbiz.de/10003324192
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Bootstrap confidence sets under model misspecification
Spokojnyj, Vladimir G.; Zhilova, Mayya - 2014
under the so called Small Modeling Bias condition. In the case when the true model deviates significantly from the … constructed confidence sets is increased by the modeling bias. We illustrate the results with numerical examples for misspecified …
Persistent link: https://www.econbiz.de/10010436527
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Generalized entropy and model uncertainty
Meyer-Gohde, Alexander - 2017 - This version: August 4, 2017
-sensitive preferences, the generalized exponential equivalent provides additional flexibility in modeling uncertainty through its …
Persistent link: https://www.econbiz.de/10011701075
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Links between sustainability-related innovation and sustainability management
Wagner, Marcus (contributor) - 2008
This paper analyses the link between sustainability-related innovation and sustainability performance and the role that … on panel data, the paper analyses the link of corporate sustainability performance with sustainability innovation and the … to a moderating role of family firms on the link of sustainability innovation and performance and assesses the policy …
Persistent link: https://www.econbiz.de/10003727665
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Estimation with the nested logit model : specifications and software particularities
Silberhorn, Nadja (contributor);  … - 2007
The paper discusses the nested logit model for choices between a set of mutually exclusive alternatives (e.g. brand choice, strategy decisions, modes of transportation, etc.). Due to the ability of the nested logit model to allow and account for similarities between pairs of alternatives, the...
Persistent link: https://www.econbiz.de/10003634024
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Estimation with the nested logit model : specifications and software particularities
Silberhorn, Nadja (contributor);  … - 2006
specification is not consistent with random utility theory (RUT), the UMNL form is preferred. This article introduces distinct …
Persistent link: https://www.econbiz.de/10003324329
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An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin; Xu, Xiu; Chen, Ying - 2015
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating...
Persistent link: https://www.econbiz.de/10010529347
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Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes
Fischer, Matthias (contributor) - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as...
Persistent link: https://www.econbiz.de/10003633489
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Uncertain paternity, mating market failure, and the institution of marriage
Bethmann, Dirk (contributor); Kvasnicka, Michael (contributor) - 2007
This paper provides a first microeconomic foundation for the institution of marriage. Based on a model of reproduction, mating, and parental investment in children, we argue that marriage serves the purpose of attenuating the risk of mating market failure that arises from incomplete information...
Persistent link: https://www.econbiz.de/10003633544