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Multiple politico-economic regimes, inequality and growth

Desdoigts, Alain; Moizeau, Fabien - 2001

In this paper, we abandon the stylized median voter and study (i) how distributional tensions can act in many different ways depending on social affinity and on the prospect of upward or downwardmobility of the different income classes, (ii) income distribution dynamics, intergenerational...

Persistent link: https://www.econbiz.de/10009615432

Asymptotic inference for a linear stochastic differential equation with time delay

Gushchin, Alexander A.; Küchler, Uwe - 1997

Persistent link: https://www.econbiz.de/10009657896

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be approximated by a constant over some interval. In such a...

Persistent link: https://www.econbiz.de/10009626679

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - 2001

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

Persistent link: https://www.econbiz.de/10009615426

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Measurement error, biases, and the validation of complex models

Carroll, Raymond J.; Galindo, Christian D. - 1997

There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would … exposure with error. 2. The effects of measurement error vary from study-to-study. It is dangerous to take measurement error … corrections derived from one study and apply them to data from entirely different studies or populations. 3. Measurement error can …

Persistent link: https://www.econbiz.de/10009631751

Empirical likelihood-based dimension reduction inference for linear error-in-responses models with validation study

Wang, Qihua; Härdle, Wolfgang - 2002

In this paper, linear errors-in-response models are considered in the presence of validation data on the responses. A semiparametric dimension reduction technique is employed to define an estimator of β with asymptotic normality, the estimated empirical loglikelihoods and the adjusted empirical...

Persistent link: https://www.econbiz.de/10009627279

Construction of automatic confidence intervals in nonparametric heteroscedastic regression by a moment-oriented bootstrap

Sommerfeld, Volker - 1997

We construct pointwise confidence intervals for regression functions. The method uses nonparametric kernel estimates and the "moment-oriented" bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher order error moments. We show that our bootstrap...

Persistent link: https://www.econbiz.de/10009632602

Finance, investment, and firm value in Germany and the US : a comparative analysis

Nowak, Eric - 1998

Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a … impact of financing, investment, and dividend decisions on the value of stock corporations in Germany and the US. The …

Persistent link: https://www.econbiz.de/10009578016

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