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~isPartOf:"DNB working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State"
~language:"eng"
~subject:"EU-Staaten"
~subject:"Faktorenanalyse"
~subject:"Forecasting model"
~subject:"Korrelation"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~subject:"USA"
~subject:"United States"
~type:"book"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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91
Price discovery on foreign exchange markets with differentially informed traders
Jong, Frank de
(
contributor
)
-
1999
Persistent link: https://www.econbiz.de/10001375037
Saved in:
92
Cumulated prediction errors of multivariate time series models
Klein, André
;
Gooijer, Jan G. de
-
1996
Persistent link: https://www.econbiz.de/10000929738
Saved in:
93
Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.
;
Mandjes, Michel
;
Ridder, Ad
-
2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
Saved in:
94
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
-
2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011431503
Saved in:
95
On the origins of entrepreneurship : evidence from sibling correlations
Lindquist, Matthew J.
;
Sol, Joeri
;
Praag, Mirjam van
; …
-
2016
Promoting entrepreneurship has become an increasingly important part of the policy agenda in many countries. The success of such policies, however, rests in part on the assumption that entrepreneurship outcomes are not fully determined at a young age by factors that are unrelated to current...
Persistent link: https://www.econbiz.de/10011539965
Saved in:
96
Returns to on-the-job search and the dispersion of wages
Gottfries, Axel
;
Teulings, Coen N.
-
2016
the job, job duration should be distributed uniformly. Using extreme value
theory
, we can infer the shape of the wage …
Persistent link: https://www.econbiz.de/10011540616
Saved in:
97
Model-based business cycle and financial cycle decomposition for Europe and the U.S.
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
-
2016
We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...
Persistent link: https://www.econbiz.de/10011520505
Saved in:
98
Inclusive fitness
Veelen, Matthijs van
;
Allen, Benjamin
;
Hoffman, Moshe
; …
-
2016
fitness works? This question is addressed using two well known tools from evolutionary
theory
: the replicator dynamics, and …
Persistent link: https://www.econbiz.de/10011520526
Saved in:
99
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
Saved in:
100
Forecasting using random subspace methods
Boot, Tom
;
Nibbering, Didier
-
2016
randomly weighting the original predictors. Using recent results from random matrix
theory
, we obtain a tight bound on the mean …
Persistent link: https://www.econbiz.de/10011531132
Saved in:
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