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Signalling rivalry and quality uncertainty in a duopoly
Bester, Helmut; Demuth, Juri - 2011
This paper considers a market in which only the incumbent's quality is publicly known. The entrant's quality is observed by the incumbent and some fraction of informed consumers. This leads to price signalling rivalry between the duopolists, because the incumbent gains and the entrant loses when...
Persistent link: https://www.econbiz.de/10009404774
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Full Bayesian inference for asymmetric Garch models with student-t innovations
Fonseca, Thaís C. O. da; Cerqueira, Vinícius dos Santos; … - 2016
In this work, we consider modeling the past volatilities through an asymmetric generalised autoregressive conditional heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown degrees of freedom and indicate how it may...
Persistent link: https://www.econbiz.de/10012059451
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The determinants of CDS spreads : evidence from the model space
Pelster, Matthias; Vilsmeier, Johannes - 2016
We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...
Persistent link: https://www.econbiz.de/10011561899
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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - 2019
Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...
Persistent link: https://www.econbiz.de/10011962843
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A unit-level quantile nested error regression model for domain prediction with continuous and discrete outcomes
Weidenhammer, Beate; Schmid, Timo; Salvati, Nicola; … - 2016
In this paper we will present recent work on a new unit-level small area methodology that can be used with continuous and discrete outcomes. The proposed method is based on constructing a model-based estimator of the distribution function by using a nested-error regression model for the...
Persistent link: https://www.econbiz.de/10011496844
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Kernel density estimation for heaped data
Groß, Marcus; Rendtel, Ulrich - 2015
In self-reported data usually a phenomenon called 'heaping' occurs, i.e. survey participants round the values of their income, weight or height to some degree. Additionally, respondents may be more prone to round off or up due to social desirability. By ignoring the heaping process a severe bias...
Persistent link: https://www.econbiz.de/10011325727
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Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven - 2014 - This version: January 2014
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
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Zipf's law for cities : a cross country investigation
Soo, Kwok Tong (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002122641
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Measuring option implied degree of distress in the US financial sector using the entropy principle
Matros, Philipp; Vilsmeier, Johannes - 2012
2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected … risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the … Lehman crisis. -- Entropy Principle ; Risk Neutral Density ; Probability of Default ; Financial Stability Indicator ; Credit …
Persistent link: https://www.econbiz.de/10009674908