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A supreme test for periodic explosive GARCH

Richter, Stefan; Wang, Weining; Wu, Wei Biao - 2020

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized … autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with … GARCH process. Technically, the existing properties for the QMLE in the GARCH model need to be reinvestigated to hold …

Persistent link: https://www.econbiz.de/10012433262

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …

Persistent link: https://www.econbiz.de/10011890808

Nonparametric Variable Selection and Its Application to Additive Models

Feng, Zheng-Hui; Lin, Lu; Zhu, Ruo-Qing; Zhu, Li-Xing - 2018

For multivariate nonparametric regression models, existing variable selection methods with penalization require high-dimensional nonparametric approximations in objective functions. When the dimension is high, none of methods with penalization in the literature are readily available. Also,...

Persistent link: https://www.econbiz.de/10012433151

Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices

Yang, Zihui; Zhou, Yinggang - 2018

With option-implied volatility indices, we provide a new tool for event studies in a network setting and document systemic risk in the spillover networks across global financial markets. Network linkages are sufficiently asymmetric because the US stock and bond markets play as dominant...

Persistent link: https://www.econbiz.de/10012433152

Knowing me, knowing you: inventor mobility and the formation of technology-oriented alliances

Wagner, Stefan; Goossen, Martin C. - 2018

We link the hiring of R&D scientists from industry competitors to the subsequent formation of collaborative agreements, namely technology-oriented alliances. By transferring technological knowledge as well as cognitive elements to the hiring firm, mobile inventors foster the alignment of...

Persistent link: https://www.econbiz.de/10012433156

Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis

Hryshchuk, Antanina; Lessmann, Stefan - 2018

Many Southeast European countries are currently undergoing a process of liberalization of electric power markets. The paper analyses day-ahead price dynamics on some of these new markets and in Germany as a benchmark of a completely decentralized Western European market. To that end, several...

Persistent link: https://www.econbiz.de/10012433158

How to Measure a Performance of a Collaborative Research Centre

Zharova, Alona; Tellinger-Rice, Janine; Härdle, … - 2018

New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...

Persistent link: https://www.econbiz.de/10012433160

Targeting customers for profit: An ensemble learning framework to support marketing decision making

Lessmann, Stefan; Coussement, Kristof; De Bock, Koen W.; … - 2018

Marketing messages are most effective if they reach the right customers. Deciding which customers to contact is thus an important task in campaign planning. The paper focuses on empirical targeting models. We argue that common practices to develop such models do not account sufficiently for...

Persistent link: https://www.econbiz.de/10012433161

Improving Crime Count Forecasts Using Twitter and Taxi Data

Vomfell, Lara; Härdle, Wolfgang Karl; Lessmann, Stefan - 2018

Data from social media has created opportunities to understand how and why people move through their urban environment and how this relates to criminal activity. To aid resource allocation decisions in the scope of predictive policing, the paper proposes an approach to predict weekly crime...

Persistent link: https://www.econbiz.de/10012433162

Adaptive Nonparametric Clustering

Efimov, Kirill; Adamyan, Larisa; Spokoiny, Vladimir - 2018

This paper presents a new approach to non-parametric cluster analysis called Adaptive Weights Clustering (AWC). The idea is to identify the clustering structure by checking at different points and for dierent scales on departure from local homogeneity. The proposed procedure describes the...

Persistent link: https://www.econbiz.de/10012433167

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