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Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … ; extreme value theory ; bootstrapping …

Persistent link: https://www.econbiz.de/10003891679

Jointness of growth determinants

Doppelhofer, Gernot (contributor); Weeks, Melvyn (contributor) - 2007

Persistent link: https://www.econbiz.de/10003497528

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

Persistent link: https://www.econbiz.de/10002734112

Climate damages in convergence-consistent growth projections

Harding, Tony; Moreno Cruz, Juan; Quaas, Martin F.; … - 2023

Projections of climate change damages based on climate-econometric estimates suggest that, without mitigation, global warming could reduce average global incomes by over 20% towards the end of the century (Burke et al., 2015). This figure significantly surpasses climate damages in Integrated...

Persistent link: https://www.econbiz.de/10014292777

Multi-dimensional transitional dynamics : a simple numberical procedure

Trimborn, Timo (contributor); Koch, Karl-Josef (contributor) - 2006

Persistent link: https://www.econbiz.de/10003364341

Education, growth and income inequality

Teulings, Coen N.; Rens, Thijs van - 2002

When types of workers are imperfect substitutes, the Mincerian rate of return to human capital is negatively related to the supply of human capital. We work out a simple model for the joint evolution of output and wage dispersion. We estimate this model using cross-country panel data on GDP and...

Persistent link: https://www.econbiz.de/10011408972

Regional inequality, convergence, and its determinants : a view from outer space

Lessmann, Christian; Seidel, André - 2015 - This version: 16.04.2015

regional income data are available. We subsequently use our estimation results for an out-ofsample prediction of regional …

Persistent link: https://www.econbiz.de/10010515477

Testing for output convergence : a re-examination

Cheung, Yin-Wong; Pascual, Antonio I. Garcia - 2000

This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....

Persistent link: https://www.econbiz.de/10009781596

Estimating the effects of trade agreements : lessons from 60 years of methods and data

Larch, Mario; Yotov, Yoto - 2023

Starting with Tinbergen (1962), quantifying the effects of regional trade agreements (RTAs) on international trade flows has always been among the most popular topics in the trade literature. Also not surprisingly, to estimate the effects of RTAs, most researchers and policy analysts have relied...

Persistent link: https://www.econbiz.de/10013540804

The great divergence : a network approach

Lindner, Ines; Strulik, Holger - 2015

We present a multi-country theory of economic growth in which countries are connected by a network of mutual knowledge … knowledge throughout the world explains a period of increasing world inequality after the take-off of the forerunners of the … industrial revolution, followed by decreasing relative inequality. Knowledge diffusion through a Small World network explains the …

Persistent link: https://www.econbiz.de/10011397182

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