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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational …

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

How Large is Average Economic Growth? Evidence from a Robust Method

Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Institute - 2002

This paper puts forward a method to estimate average economic growth, and its associated confidence bounds, which does not require a formal decision on potential unit root properties. The method is based on the analysis of either difference-stationary or trend-stationary time series models,...

Persistent link: https://www.econbiz.de/10005136924

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Institute - 2005

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Persistent link: https://www.econbiz.de/10005137190

The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations

Kiviet, Jan F.; Niemczyk, Jerzy - Tinbergen Institute - 2006

In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...

Persistent link: https://www.econbiz.de/10005137201

Family Background Variables as Instruments for Education in Income Regressions: A Bayesian Analysis

Hoogerheide, Lennart; Block, Joern H.; Thurik, Roy - Tinbergen Institute - 2010

violations of the strong validity assumption affect the estimation results. We show that, in case of moderate direct effects of …

Persistent link: https://www.econbiz.de/10008484065

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Institute - 2009

Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....

Persistent link: https://www.econbiz.de/10004964452

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Institute - 2005

semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for … significant. Finally, we investigate whether the common factor model suffices to capture systematic risk in rating transition data …

Persistent link: https://www.econbiz.de/10005137142