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Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010632797

Multicointegration in US Consumption Data

Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10005018683

Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by...

Persistent link: https://www.econbiz.de/10008584359

A Note on Regressions with Interval Data on a Regressor

Cerquera, Daniel; Laisney, François; Ullrich, Hannes - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The...

Persistent link: https://www.econbiz.de/10010937929

The Data Quality Concept of Accuracy in the Context of Public Use Data Sets

Kuchler, Carsten; Spieß, Martin - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

Like other data quality dimensions, the concept of accuracy is often adopted to characterise a particular data set. However, its common specification basically refers to statistical properties of estimators, which can hardly be proved by means of a single survey at hand. This ambiguity can be...

Persistent link: https://www.econbiz.de/10004963645

Support Vector Machines (SVM) as a Technique for Solvency Analysis

Auria, Laura; Moro, Rouslan A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

This paper introduces a statistical technique, Support Vector Machines (SVM), which is considered by the Deutsche Bundesbank as an alternative for company rating. A special attention is paid to the features of the SVM which provide a higher accuracy of company classification into solvent and...

Persistent link: https://www.econbiz.de/10004963659

Political Instability and the August 1998 Ruble Crisis

Fic, Tatiana; Saqib, Omar F. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

The main objective of this study is to highlight the importance of political instability, defined as frequent changes in and of government, in undermining the Russian exchange rate based stabilization program of the 1990s. The empirical evidence supports the significance of political instability...

Persistent link: https://www.econbiz.de/10004963963

Copayments for Ambulatory Care in Germany: A Natural Experiment Using a Difference-in-Difference Approach

Schreyögg, Jonas; Grabka, Markus M. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

In response to increasing health expenditures and a high number of physician visits, the German government introduced a copayment for ambulatory care in 2004 for individuals with statutory health insurance (SHI). Because persons with private insurance were exempt from the copayments, this health...

Persistent link: https://www.econbiz.de/10005068650

Is Entrepreneurial Success Predictable?: An Ex-ante Analysis of the Character-Based Approach

Caliendo, Marco; Kritikos, Alexander S. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

This paper empirically analyzes whether the character-based approach, which is based on the personality structure and the human capital of business founders, allows prediction of entrepreneurial success. A unique data set is used consisting of 414 previously unemployed persons whose personal...

Persistent link: https://www.econbiz.de/10005068664

O Brother, Where Art Thou?: The Effects of Having a Sibling on Geographic Mobility and Labor Market Outcomes

Rainer, Helmut; Siedler, Thomas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

In most industrialized countries, more people than ever are having to cope with the burden of caring for elderly parents. This paper formulates a model to explain how parental care responsibilities and family structure interact in affecting children's mobility characteristics. A key insight we...

Persistent link: https://www.econbiz.de/10005068761

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