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Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2000 - rev.

Persistent link: https://www.econbiz.de/10001554496

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001412189

Untangling real gravity

Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Making the most out of social experiments : reducing the intrinsic uncertainty in evidence from randomized trials with an application to the national JTPA experiment

Clements, Nancy; Heckman, James J.; Smith, Jeffrey A. - 1994

Persistent link: https://www.econbiz.de/10000884776

Possibly III-behaved posteriors in econometric models : on the connection between model structures, non-elliptical credible sets and neural network simulation techniques

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003706017

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003813787

To bridge, to warp or to wrap? A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

Persistent link: https://www.econbiz.de/10003813789

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10011374406