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Müller, Marlene; Härdle, Wolfgang - 2002

of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … technique is based on the theory generalized partial linear models. We illustrate the advantages of this approach using a …

Persistent link: https://www.econbiz.de/10009627282

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts

Klapper, Daniel; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10009578563

Projection pursuit regression and neural networks

Klinke, Sigbert; Grassmann, J. - 1998

Persistent link: https://www.econbiz.de/10009576213

A generic architecture for hybrid intelligent systems

Jacobsen, Hans-Arno - 1998

and achieve synergetic effects through hybridization or fusion of these techniques, has in recent years contributed to a … identify four categories, based on the systems, overall architecture: (1) single component systems, (2) fusion-based systems …

Persistent link: https://www.econbiz.de/10009578554

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data

Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002

. However, no empirical evidence exists for Germany so far. We investigate the effectiveness of (i) self-ratings of health by … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … a valid predictor of mortality in Germany, adding previously self-rated health has no effect on explaining the …

Persistent link: https://www.econbiz.de/10009626677

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Persistent link: https://www.econbiz.de/10009613597

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

Persistent link: https://www.econbiz.de/10009579181

Confidence intervals for state price densities

Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916784