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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 … is applied to update the location and scale.<BR> Tested on a set of canonical models that feature near non …

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

Non-take-up of Tax-favored Savings Plans: Are Household Portfolios Optimal?

Alessie, Rob; Hochguertel, Stefan; Soest, Arthur van - Tinbergen Institute - 2002

Since the early nineties, the Dutch tax system allows for a tax-favored form of risk free savings through employer- sponsored savings plans (ESSPs). Under some conditions and up to a certain amount, the contributions to this plan are tax-deductible, and the returns as well as the withdrawals are...

Persistent link: https://www.econbiz.de/10005795582

Education and Entrepreneurial Choice: An Instrumental Variables Analysis

Block, Joern H.; Hoogerheide, Lennart; Thurik, Roy - Tinbergen Institute - 2009

Education is argued to be an important driver of the decision to start a business. The measurement of its influence, however, is difficult since it is considered to be an endogenous variable. This study accounts for this endogeneity by using an instrumental variables approach

Persistent link: https://www.econbiz.de/10008513229

Slipping Anchor? Testing the Vignettes Approach to Identification and Correction of Reporting Heterogeneity

d'Uva, Teresa Bago; Lindeboom, Maarten; O'Donnell, Owen; … - Tinbergen Institute - 2009

Anchoring vignettes are increasingly used to identify and correct heterogeneity in the reporting of health, work disability, life satisfaction, political efficacy, etc. with the aim of improving interpersonal comparability of subjective indicators of these constructs. The method relies on two...

Persistent link: https://www.econbiz.de/10008513233

A Joint Framework for Category Purchase and Consumption Behavior

Oest, Rutger van; Paap, Richard; Franses, Philip Hans - Tinbergen Institute - 2002

We propose a consistent utility-based framework to jointly explain a household's decisions on purchase incidence, brand choice and purchase quantity. The approach differs from other approaches, currently available in the literature, as it is able to take into account consumption dynamics. In the...

Persistent link: https://www.econbiz.de/10005137035

Dual Track or Academic Route for Auditors

Jonker, Nicole; Ophem, Hans van; Hartog, Joop - Tinbergen Institute - 2002

In the Netherlands auditors can be trained in a part-time educational track in which students combine working and studying or in a full-time educational track. The former training is relatively firm-specific whereas the latter training is relatively general. Applying human capital theory, we...

Persistent link: https://www.econbiz.de/10005504888

d'Uva, Teresa Bago; Lindeboom, Maarten; O'Donnell, Owen; … - Tinbergen Institute - 2010

Reliance on self-rated health to proxy medical need can bias estimation of education-related inequity in health care utilisation. We correct this bias both by instrumenting self-rated health with objective health indicators and by purging self-rated health of reporting heterogeneity identified...

Persistent link: https://www.econbiz.de/10008752535

Retirement Choices in Italy: What an Option Value Model tells us

Belloni, Michele; Alessie, Rob - Tinbergen Institute - 2010

Using Italian data, we estimate an option value model to quantify the effect

Persistent link: https://www.econbiz.de/10008838550