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semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of … conditional kernel smoothers based on local linear estimator. The semiparametric copula model is compared with the parametric DCC …
Persistent link: https://www.econbiz.de/10005706216
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10011163510
Abstract: The robust permanent income model discussed in a number of works, see e.g. Hansen et al. (1999, 2002), is reformulated as a linear quadratic tracking problem with a time-varying intercept following a ‘Return to Normality’ model. The results in Tucci (2005), which...
Persistent link: https://www.econbiz.de/10005342946
This paper builds upon the work by Tucci and Kendrick (2001) in which the authors develop a quadratic form version of the robust permanent income and pricing model described in Hansen, Sargent and Tallerini (1999). Then using the parameter values given on p. 18 of the HST paper they compute the...
Persistent link: https://www.econbiz.de/10005345306
This paper proposes a new method of estimating the Taylor rule with a time-varying implicit inflation target and a time-varying natural rate of interest. The inflation target and the natural rate are modelled as random walks and are estimated using maximum likelihood and the Kalman filter. I...
Persistent link: https://www.econbiz.de/10005170568
Epidemics are often modeled using non-linear dynamical systems observed through partial and noisy data. In this paper, we consider stochastic extensions in order to capture unknown influences (changing behaviors, public interventions, seasonal effects, etc.). These models assign diffusion...
Persistent link: https://www.econbiz.de/10010746158
analysis and copula theory. First we consider the case of the complete markets followed by the general case of incomplete …
Persistent link: https://www.econbiz.de/10005170550
consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …
Persistent link: https://www.econbiz.de/10010745286
Persistent link: https://www.econbiz.de/10003424668
Persistent link: https://www.econbiz.de/10008653493