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Alternative GMM methods for nonlinear panel data models
Breitung, Jörg; Lechner, Michael - 1998
Persistent link: https://www.econbiz.de/10009578574
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Hazard regression
Grund, Birgit; Yang, Lijian - 1999
Persistent link: https://www.econbiz.de/10009581089
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Semiparametric lack-of-fit tests in an additive hazard regression model
Grund, Birgit; Polzehl, Jörg - 1999
investigated in a simulation study. In a practical example, the tests consistently identify covariates with constant and with …
Persistent link: https://www.econbiz.de/10009582408
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Hazard regression
Grund, Birgit; Yang, Lijian - 2000
Persistent link: https://www.econbiz.de/10009611555
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Semiparametric estimation in single index poisson regression : a practical approach
Climov, Daniela; Delecroix, Michel; Simar, Léopold - 2001
estimated by the method of pseudo maximumum likelihood. In this paper, we study, by simulation arguments, the practical validity … of the asymptotic behavior of the pseudo maximum likelihood index estimator and of some associated cross-validation …
Persistent link: https://www.econbiz.de/10009614290
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Modeling the learning from repeated samples : a generalized cross entropy approach
Bernardini Papalia, Rosa (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919508
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Semiparametric analysis of German East-West migration intentions : facts and theory
Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997
compatible with classical Marshallian theory of migration and motivates the semiparametric analysis. We estimate a Generalized … proposed option-value-of-waiting theory. …
Persistent link: https://www.econbiz.de/10009574896
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Compensator-based simulation of correlated defaults
Giesecke, Kay - 2002
performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …
Persistent link: https://www.econbiz.de/10009624843
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Estimating the Kronecker indices of cointegrated echelon form VARMA models
Bartel, Holger; Lütkepohl, Helmut - 1997
selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the …
Persistent link: https://www.econbiz.de/10009630541
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876