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We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions. Other questions relate to the shape of a given impulse response function. Answering these questions requires joint inference about sets of structural impulse responses,...
Persistent link: https://www.econbiz.de/10011421682
Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we … estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is … bias and the bias in consumer price index (CPI) numbers. The PPP bias and subsequent corrected incomes are measured by …
Persistent link: https://www.econbiz.de/10008732283
Persistent link: https://www.econbiz.de/10003630854
behaviors and outcomes, universalists donate less money locally but more globally, are less likely to exhibit home bias in …
Persistent link: https://www.econbiz.de/10012118592
We measure the economic risk of epidemics at a geo-spatially detailed resolution. In addition to data about the epidemic hazard prediction, we use data from 2014-2019 to compute measures for exposure, vulnerability, and resilience of the local economy to the shock of an epidemic. Using a battery...
Persistent link: https://www.econbiz.de/10012156716
fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …. -- Panel regression ; multiplicative measurement errors ; bias correction ; asymptotic variance ; disclosure control …The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional …
Persistent link: https://www.econbiz.de/10003824983
We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and...
Persistent link: https://www.econbiz.de/10012103616
intent of individuals (bias). This "victimhood bias" wherein individuals ascribe noise to bias is much larger for (a … observe that both inter-ethnic contact and economic development are associated with a decline in this victimhood bias. Finally …, those with a lower victimhood bias are more likely to behave cooperatively in inter-ethnic rela-tionships. Our results …
Persistent link: https://www.econbiz.de/10013285857