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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

Persistent link: https://www.econbiz.de/10005144576

Total Factor Productivity and the Mongolian Transition

Chessa, Antonio G.; Schouwstra, Marije C. - Tinbergen Institute - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10005137124

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005137171

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002

simulation error. The standard asymptotic properties of maximum likelihood estimators apply as a result. A Monte Carlo study is …

Persistent link: https://www.econbiz.de/10005209436

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Institute - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10005209535

To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009

Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation … analysis is presented of possible advantages and limitations of different simulation techniques; of possible choices of …

Persistent link: https://www.econbiz.de/10005016276

Gradient Estimation for a Class of Systems with Bulk Services: A Problem in Public Transportation

Vazquez-Abad, Felisa J.; Heidergott, Bernd - Tinbergen Institute - 2003

This paper deals with a system where batch arrivals wait in a station until a server (a train) is available, at which moment it services all customers in waiting. This is an example of a bulk server, which has many applications in public transportation, telecommunications, computer resource...

Persistent link: https://www.econbiz.de/10005144454

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

Bos, Charles S.; Shephard, Neil - Tinbergen Institute - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10005144469

Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of <I>t</I> approximations [QERMit]. As a first step the...</i>

Persistent link: https://www.econbiz.de/10005144532

Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - Tinbergen Institute - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....

Persistent link: https://www.econbiz.de/10005144538