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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

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

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

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

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

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

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

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

Duality theory for optimal investments under model uncertainty

Schied, Alexander (contributor); Wu, Ching-Tang (contributor) - 2005

Persistent link: https://www.econbiz.de/10003049762

A market basket analysis conducted with a multivariate logit model

Boztuğ, Yasemin (contributor); … - 2005

The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependencies between different products or brands. The bundle chosen on the trip can be regarded as the result of a global utility function. More...

Persistent link: https://www.econbiz.de/10003049827