Showing 1 - 10 of 508
The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators might provide an alternative. In order to apply such...
Persistent link: https://www.econbiz.de/10003548061
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...
Persistent link: https://www.econbiz.de/10003550857
explaining equity return comovements.We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …
Persistent link: https://www.econbiz.de/10003550858
We study a Tikhonov Regularized (TiR) estimator of a functional parameter identified by conditional moment restrictions in a linear model with both exogenous and endogenous regressors. The nonparametric instrumental variable estimator is based on a minimum distance principle with penalization by...
Persistent link: https://www.econbiz.de/10003394370
We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust...
Persistent link: https://www.econbiz.de/10003394379
This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation is still locally ill-posed
Persistent link: https://www.econbiz.de/10011515736
suitable proxy to follow the development of the Switzerland's real estate market, especially given the sparsity of available …
Persistent link: https://www.econbiz.de/10011626361
The Sovereign Money Initiative will be submitted to the Swiss people in 2018. This paper reviews the arguments behind the initiative and discusses its potential impact. I argue that several arguments are inconsistent with empirical evidence or with economic logic. In particular, controlling...
Persistent link: https://www.econbiz.de/10011762268
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...
Persistent link: https://www.econbiz.de/10003971115
We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework. The estimator is based on a parametric specification of the stochasticdiscount factor and is non-parametric w.r.t. the historical dynamics of the state variables. The...
Persistent link: https://www.econbiz.de/10008798293