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Consistent Testing for Stochastic Dominance under General Sampling Schemes

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - 2003

We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence...

Persistent link: https://www.econbiz.de/10010296467

On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay

Küchler, Uwe; Gapeev, Pavel V. - 2003

We obtain an explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with observed Ornstein-Uhlenbeck processes and get explicit rates of decrease for error probabilities of Neyman-Pearson, Bayes, and minimax tests. We also give expressions for the rates of...

Persistent link: https://www.econbiz.de/10010296480

The empirical determinants of the Euro: Short and long run perspectives

Chinn, Menzie David - 2000

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a synthetic euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …

Persistent link: https://www.econbiz.de/10010310195

On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

Herwartz, Helmut - 2003

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...

Persistent link: https://www.econbiz.de/10010296439

Forecasting sectoral trade growth under flexible exchange rates

Herwartz, Helmut; Weber, Henning - 2003

A huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their...

Persistent link: https://www.econbiz.de/10010296440

Inflation Expectations in the EU: Results from Survey Data

Nielsen, Hannah - 2003

Inflation expectations are extracted from the Consumer Survey, which is conducted by the European Commission for the European Union. Using the probability method to quantify the qualitative answers different distribution functions and scaling parameters are assumed to cope with the properties of...

Persistent link: https://www.econbiz.de/10010296449

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Fengler, Matthias R.; Wang, Qihua - 2003

Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility...

Persistent link: https://www.econbiz.de/10010296461

Confidence Intervals for State Price Densities

Hlávka, Zdeněk - 2003

The state price density is a second derivative of the discounted European options prices with respect to the strike price. We use Maximum Likelihood method to derive a simple estimator of the curve such that it is decreasing, convex and its second derivative integrates to one. Confidence...

Persistent link: https://www.econbiz.de/10010296470

Nonparametric and Semiparametric Estimation of Additive Models with both Discrete and Continuous Variables under Dependence

Camlong-Viot, Christine; Rodríguez-Póo, Juan M.; … - 2003

This paper is concerned with the estimation and inference of nonparametric and semiparametric additive models in the … presence of discrete variables and dependent observations. Among the different estimation procedures, the method introduced by …

Persistent link: https://www.econbiz.de/10010296474

Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries

Holtemöller, Oliver - 2003

accordance to their degree of monetary integration with the Euro area, EU acceding and accession countries are divided into three …

Persistent link: https://www.econbiz.de/10010296475