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A random forest-based approach to identifying the most informative seasonality tests

Ollech, Daniel; Webel, Karsten - 2020

Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...

Persistent link: https://www.econbiz.de/10012301212

Spatial multivariate regressions with panel data

Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016

spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …

Persistent link: https://www.econbiz.de/10012059270

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same … portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks …

Persistent link: https://www.econbiz.de/10011299075

Investment risk appraisal

Serguieva, A.; Hunter, J. - 2000

Persistent link: https://www.econbiz.de/10001572628

Outlier robust small area estimation under spatial correlation

Schmid, Timo; Tzavidis, Nikos; Münnich, Ralf T.; … - 2015

propose outlier robust small area methodology that allows for the presence of spatial correlation in the data. In particular …

Persistent link: https://www.econbiz.de/10010486950

Income interdependence and informal risk sharing : the effects of future interactions and directed altruism

Paan Jindapon; Pacharasut Sujarittanonta; Ajalavat … - 2022

Persistent link: https://www.econbiz.de/10013433692

Predicting monetary policy using artificial neural networks

Hinterlang, Natascha - 2020

This paper analyses the forecasting performance of monetary policy reaction functions using U.S. Federal Reserve's Greenbook real-time data. The results indicate that artificial neural networks are able to predict the nominal interest rate better than linear and nonlinearTaylor rule models as...

Persistent link: https://www.econbiz.de/10012256503

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

Persistent link: https://www.econbiz.de/10010405475

Analyzing business and financial cycles using multi-level factor models

Breitung, Jörg; Eickmeier, Sandra - 2014

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...

Persistent link: https://www.econbiz.de/10010373684

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

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