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Multivariate Analysemethoden : eine anwendungsorientierte Einführung

Backhaus, Klaus; Erichson, Bernd; Plinke, Wulff; … - 2006 - 11., überarb. Aufl.

Persistent link: https://www.econbiz.de/10003042063

Testing the rank of the Hankel matrix : a statistical approach

Camba-Méndez, Gonzalo - 2001

Persistent link: https://www.econbiz.de/10013434335

Einführung in die Statistik der Finanzmärkte

Franke, Jürgen; Härdle, Wolfgang - 2004 - 2. Aufl.

Persistent link: https://www.econbiz.de/10001786475

Nichtparametrische Schätzung bedingter Quantile in Finanzmarktdaten

Abberger, Klaus - 1994

In der Literatur wurden verschiedene parametrische Modelle zur Analyse der Heteroskedastie in Zeitreihen von Finanzmarktdaten entwickelt. Eine Möglichkeit, die bedingte Volatilität nichtparametrisch zu erfassen, ist die Kernschätzung von bedingten Quantilen. In diesem Aufsatz werden einige...

Persistent link: https://www.econbiz.de/10009774702

Multivariate Analysemethoden : eine anwendungsorientierte Einführung

Backhaus, Klaus (contributor) - 2003 - 10., neu bearb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10001754971

Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10009674269

Tests of bias in log-periodogram regression

Davidson, James E. H. (contributor); … - 2005

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent. The use of the tests in...

Persistent link: https://www.econbiz.de/10003005036

Characterizing the financial cycle : evidence from a frequency domain analysis

Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2015

A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypotheses. We...

Persistent link: https://www.econbiz.de/10011299043

Tools for computational finance

Seydel, Rüdiger - 2006 - 3. ed.

Persistent link: https://www.econbiz.de/10003301721

Statistical tools for finance and insurance

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005

CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners …-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial …

Persistent link: https://www.econbiz.de/10002123307

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