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Functional-coefficient regression models for nonlinear time series
Cai, Zongwu; Fan, Jianqing; Yao, Qiwei - London School of Economics (LSE) - 2000
forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth selector based … on newly defined cross-validatory estimation for the expected forecasting errors. The proposed methodology is data …
Persistent link: https://www.econbiz.de/10011126715
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Comparing downside risk measures for heavy tailed distribution
Danielsson, Jon; Jorgensen, Bjørn N.; Sarma, Mandira; … - London School of Economics (LSE) - 2005
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy...
Persistent link: https://www.econbiz.de/10011071274
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Consistent measures of risk
Danielsson, Jon; Zigrand, Jean-Pierre; Jorgensen, Bjørn N. - London School of Economics (LSE) - 2006
In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk...
Persistent link: https://www.econbiz.de/10011071496
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Portfolio choice beyond the traditional approach
Penaranda, Francisco - London School of Economics (LSE) - 2007
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always...
Persistent link: https://www.econbiz.de/10010745189
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On the out-of-sample importance of skewness and asymetric dependence for asset allocation
Patton, Andrew J. - London School of Economics (LSE) - 2002
allocation decisions in an out-of-sample setting. We consider the problem of a CRRA investor allocating wealth between the risk …
Persistent link: https://www.econbiz.de/10011071238
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Prevention: wrestling with new economic realities
Knapp, Martin - London School of Economics (LSE) - 2013
recent developments and research responses, with illustrations from previous studies. Findings – Economics evidence is highly … relevant to decision makers in health, social care, and related systems. When resources are especially tight, economics …
Persistent link: https://www.econbiz.de/10010746126
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Neighbourhood effects in small neighbourhoods
Overman, Henry G. - London School of Economics (LSE) - 2000
This paper uses data on a sample of Australian teenagers to test for neighbourhood effects on school dropout rates. The data allows us to test for neighbourhood effects at two different spatial scales. We find that educational composition of the larger neighbourhood can influence the dropout...
Persistent link: https://www.econbiz.de/10010745534
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Bets on hats: on Dutch books against groups, degrees of belief as betting rates, and group-reflection
Bovens, Luc; Rabinowicz, Wlodek - London School of Economics (LSE) - 2011
decisions independently. Situations in which this happens involve violations of what might be called the Group …
Persistent link: https://www.econbiz.de/10010746712
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Macroeconomics and Politics in the Accumulation of Greece’s Debt: An econometric investigation, 1975-2009
Alogoskoufis, George - London School of Economics (LSE) - 2013
This paper focuses on an econometric investigation of the macroeconomic and political factors that contributed to Greece’s excessive debt accumulation and its failure to adequately address its fiscal imbalances, from the restoration of democracy in 1974 till the crisis of 2009. The econometric...
Persistent link: https://www.econbiz.de/10010686661
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Modeling and forecasting daily electricity load curves: a hybrid approach
Cho, Haeran; Goude, Yannig; Brossat, Xavier; Yao, Qiwei - London School of Economics (LSE) - 2013
We propose a hybrid approach for the modeling and the short-term forecasting of electricity loads. Two building blocks … of our approach are (1) modeling the overall trend and seasonality by fitting a generalized additive model to the weekly … averages of the load and (2) modeling the dependence structure across consecutive daily loads via curve linear regression. For …
Persistent link: https://www.econbiz.de/10011071075