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Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Institute - 1997
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample …
Persistent link: https://www.econbiz.de/10005504945
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Tail Behavior of Credit Loss Distributions for General Latent Factor Models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - Tinbergen Institute - 2001
Using a limiting approach to portfolio credit risk, we obtain analytic expressions for the tail behavior of the distribution of credit losses. We show that in many cases of practical interest the distribution of these losses has polynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10005281850
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Optimal Confidence Intervals for the Tail Index and High Quantiles
Ferreira, Ana; Vries, Casper G. de - Tinbergen Institute - 2004
, but then a bias term with unknown sign has to be estimated. We provide an estimator for this sign and the full programme …. Simulation results are also presented. It is weIl known that extreme value parameter estimators which balance the asymptotic bias …
Persistent link: https://www.econbiz.de/10005144524
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2011
results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …
Persistent link: https://www.econbiz.de/10008838604
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How to Implement the Bootstrap in Static or Stable Dynamic Regression Models
Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Institute - 2001
different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10005137131
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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - Tinbergen Institute - 2001
determined with a permutation procedure and a parametric bootstrap in the tests for serial independence and linearity …
Persistent link: https://www.econbiz.de/10005504907