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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
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The local power of some unit root tests for panel data
Breitung, Jörg - 1999
(1993) and Im, Pesaran and Shin (1997) suggest bias adjusted t-statistics. Such corrections are necessary to account for the … affected by two different terms. The first term represents the asymptotic effect on the bias due the detrending method and the … do not require a bias correction. The results of a Monte Carlo experiment suggest that avoiding the bias can improve the …
Persistent link: https://www.econbiz.de/10009581103
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Dynamic decision structure and risk taking
Eichberger, Jürgen; Güth, Werner; Müller, Wieland - 1999
This paper investigates the behaviour in repeated decision situations. The experimental study shows that subjects show low or no risk-aversion, but put very high value on the opportunity to sell the lottery in every stage of the decision problem. There is evidence that risk attitudes depend on...
Persistent link: https://www.econbiz.de/10009582412
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Hedging the standard of living via cost of living index futures
Schulz, Rainer - 2000
People dislike inflation because inflation erodes the real value of future nominal income and wealth. Adjustment of future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless an important aspect needs more discussion: If markets...
Persistent link: https://www.econbiz.de/10009612030
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The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
Jaschke, Stefan R. - 2001
Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...
Persistent link: https://www.econbiz.de/10009614287
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Some convergence problems on heavy tail estimation using upper order statistics for generalized Pareto and lognormal distributions
Hernandez-Molinar, Raul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919530
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A note on stochastic volatility, GARCH models, and hyperbolic distributions
Jaschke, Stefan R. - 1997
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459
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How precise are price distributions predicted by implied binomial trees?
Härdle, Wolfgang; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009620778
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ExploRing persistence in financial time series
Lee, David - 2000
Persistent link: https://www.econbiz.de/10009611548
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Distribution-invariant dynamic risk measures
Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917139