Showing 1 - 10 of 20
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...
Persistent link: https://www.econbiz.de/10005858020
We consider asymmetric kernel density estimators and smoothed histogramswhen the unknown probability density function f is defined on [0, +∞). Uniform weak consistency on each compact set in [0, +∞) is proved for these estimators when "f" is continuous on its support. Weak convergence in L...
Persistent link: https://www.econbiz.de/10005858092
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...
Persistent link: https://www.econbiz.de/10005858309
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...
Persistent link: https://www.econbiz.de/10005858393
We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...
Persistent link: https://www.econbiz.de/10005858906
n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...
Persistent link: https://www.econbiz.de/10005858909
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST) approaches are presented. We show that Multi-Scales estimators similar to that recently proposed by Zhang (2004) can be constructed within a simple regression based approach by...
Persistent link: https://www.econbiz.de/10005859008
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST) approaches are presented. We show that Multi-Scales estimators similar to that recently proposed by Zhang (2004) can be constructed within a simple regression based approach by...
Persistent link: https://www.econbiz.de/10005859009
Previous research has shown that frictions might have a significant impact on the value of a contingent claim, as discussed, for example, in Karatzas & Kou (1996)and Collin-Dufresne & Hugonnier (2002). We consider two types of frictions particularly important: frictions related to trading, such...
Persistent link: https://www.econbiz.de/10005857970