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The Bank's Choice of Financing and the Correlation Structure of Loan Returns

Ioannidou, Vasso; Pierides, Y. - Tilburg University, Center for Economic Research - 2003

This paper examines how the correlation structure of loan returns within a bank s loan portfolio a.ects its choice of …-toassets ratio either by issuing equity or by selling loans in the secondary market.The results suggest that the correlation …

Persistent link: https://www.econbiz.de/10011090808

General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)

Cizek, Pavel - Tilburg University, Center for Economic Research - 2007

High breakdown-point regression estimators protect against large errors and data con- tamination. We generalize the …)linear regression models. We derive here the consistency and asymptotic distribution of the proposed general trimmed estimator under … mild B-mixing conditions and demonstrate its applicability in nonlinear regression and limited dependent variable models. …

Persistent link: https://www.econbiz.de/10011090581

Discrete Least-norm Approximation by Nonnegative (Trigonomtric) Polynomials and Rational Functions

de Klerk, Etienne; Den Hertog, Dick; Siem, A.Y.D. - Tilburg University, Center for Economic Research - 2005

Polynomials, trigonometric polynomials, and rational functions are widely used for the discrete approximation of functions or simulation models.Often, it is known beforehand, that the underlying unknown function has certain properties, e.g. nonnegative or increasing on a certain region.However,...

Persistent link: https://www.econbiz.de/10011090673

Reduced Rank of Regression Using Generalized Method of Moments Estimators

Kleibergen, F. - Tilburg University, Center for Economic Research - 1996

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Correction …

Persistent link: https://www.econbiz.de/10011092393

General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models

Cizek, Pavel - Tilburg University, Center for Economic Research - 2004

High breakdown-point regression estimators protect against large errors and data con- tamination. Motivated by some … general trimmed estimator under mild -mixing conditions and demon- strate its applicability in nonlinear regression, time …

Persistent link: https://www.econbiz.de/10011092408

A Methodology for Fitting and Validating Metamodels in Simulation

Kleijnen, Jack P.C.; Sargent, R. - Tilburg University, Center for Economic Research - 1997

are several types of metamodel: linear regression, splines, neural networks, etc. This paper distinguishes between fitting …. Metamodels in general are covered, along with a procedure for developing linear regression (including polynomial) metamodels. …

Persistent link: https://www.econbiz.de/10011092434

Sealed-Bid Auction of Dutch Mussels : Statistical Analysis

Kleijnen, Jack P.C.; van Schaik, F.D.J. - Tilburg University, Center for Economic Research - 2007

This article presents an econometric analysis of the many data on the sealed-bid auction that sells mussels in Yerseke town, the Netherlands. The goals of this analy- sis are obtaining insight into the important factors that determine the price of these mussels, and quantifying the performance...

Persistent link: https://www.econbiz.de/10011092553

Response Surface Methodology

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2014

Abstract: This chapter first summarizes Response Surface Methodology (RSM), which started with Box and Wilson’s article in 1951 on RSM for real, non-simulated systems. RSM is a stepwise heuristic that uses first-order polynomials to approximate the response surface locally. An estimated...

Persistent link: https://www.econbiz.de/10011092681

Validation of Simulation, With and Without Real Data

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 1998

This paper gives a survey on how to validate simulation models through the application of mathematical statistics. The type of statistical test actually applied, depends on the availability of data on the real system: (i) no data, (ii) only output data, and (iii) both input and output data. In...

Persistent link: https://www.econbiz.de/10011092713