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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Instituut - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011256282

Commuters' Preferences for Fast and Reliable Travel

Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013

We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of savings in travel time and schedule delay. Our econometric approach allows for the estimation of unobserved and observed heterogeneity in preferences in a flexible way, meaning that...

Persistent link: https://www.econbiz.de/10011271951

The Use of Spatial Filtering Techniques: The Spatial and Space-time Structure of German Unemployment Data

Patuelli, Roberto; Griffith, Daniel A.; Tiefelsdorf, Michael - Tinbergen Instituut - 2006

Socio-economic interrelationships among regions can be measured in terms of economic flows, migration, or physical geographically-based measures, such as distance or length of shared areal unit boundaries. In general, proximity and openness tend to favour a similar economic performance among...

Persistent link: https://www.econbiz.de/10011255516

On the Phase Dependence in Time-Varying Correlations Between Time-Series

Blasques, Francisco - Tinbergen Instituut - 2013

This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample...

Persistent link: https://www.econbiz.de/10011255536

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 2011

both estimators. A practical procedure for jointly selecting band- and binwidth parameters is also presented. Simulation …

Persistent link: https://www.econbiz.de/10011255547

A K-sample Homogeneity Test based on the Quantification of the p-p Plot

Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

Persistent link: https://www.econbiz.de/10011255562

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, The Journal of the Operational Research Society, 61, 222-34. The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly,...

Persistent link: https://www.econbiz.de/10011255577

MDL Mean Function Selection in Semiparametric Kernel Regression Models

Gooijer, Jan G. De; Yuan, Ao - Tinbergen Instituut - 2008

We study the problem of selecting the optimal functional form among a set of non-nested nonlinear mean functions for a semiparametric kernel based regression model. To this end we consider Rissanen's minimum description length (MDL) principle. We prove the consistency of the proposed MDL...

Persistent link: https://www.econbiz.de/10011255588

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10011255640

Mixed Hitting-Time Models

Abbring, Jaap H. - Tinbergen Instituut

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process— a continuous-time process with stationary and independent increments— crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...

Persistent link: https://www.econbiz.de/10011255698