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Mean and Bold?
Witte, Kristof De; Dijkgraaf, Elbert - Tinbergen Instituut - 2007
See also the article 'Mean and bold: on separating merger economies from structural efficiency gains in the drinking water sector' 2010, <I>The Journal of the Operational Research Society</I>, 61, 222-34.<P> The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly,...</p></i>
Persistent link: https://www.econbiz.de/10011255577
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006
sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …
Persistent link: https://www.econbiz.de/10011255640
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … Garman [1996a, 1997a] under the assumption that returns are drawnfrom a multivariate normal distribution. For many portfolios … to cause seriousdistortions in VaR calculations, one has to resort to either alternative distribution specifications …
Persistent link: https://www.econbiz.de/10011256282
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Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Instituut - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011256642
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Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Blasques, Francisco - Tinbergen Instituut - 2012
This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...
Persistent link: https://www.econbiz.de/10011257412
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Comparing Distributions: The Harmonic Mass Index
Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Instituut - 2005
distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …
Persistent link: https://www.econbiz.de/10011257302
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Generalized Reduced Rank Tests using the Singular Value Decomposition
Kleibergen, Frank; Paap, Richard - Tinbergen Instituut - 2003
Statistical Association (1992), 87, 766–776] a limiting distribution that is not a standard chi-squared distribution for the rank ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10011249543
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Measuring Synchronisation and Convergence of Business Cycles
Koopman, Siem Jan; Azevedo, Joao Valle e - Tinbergen Instituut - 2003
This discussion paper resulted in an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2008). Vol. 70 issue 1, pages 23-51.<P> This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series...</p></i>
Persistent link: https://www.econbiz.de/10011255482
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Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
Hallerbach, Winfried G. - Tinbergen Instituut - 2000
differenced series we are interested in when estimatinginterest rate risk exposures e.g. This paperpresents a method to filter …
Persistent link: https://www.econbiz.de/10011255499
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Seasonality with Trend and Cycle Interactions in Unobserved Components Models
Koopman, Siem Jan; Lee, Kai Ming - Tinbergen Instituut
This discussion paper resulted in a publication in the <I>Journal of the Royal Statistical Society Series C</I> (2009). Vol. 58, pages 427-448.<I> Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components....</i></i>
Persistent link: https://www.econbiz.de/10011255581