Showing 1 - 10 of 18
The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependenciesbetween different products or brands. The bundle chosen on the trip can be regarded as the result of a global utility function. More...
Persistent link: https://www.econbiz.de/10005862002
This article provides a comprehensive econometric analysis of factors driving aggregatemortality rates over time. It differs from previous studies in this field by simultaneouslyconsidering an extensive set of macroeconomic, socio-economic and ecological factors asexplanatory variables. Germany...
Persistent link: https://www.econbiz.de/10005862604
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the vector-valued Tail-conditional-expectation (T CE). We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios when one accounts for frictions in the...
Persistent link: https://www.econbiz.de/10005854710
Integrated choice and latent variable (ICLV) models represent a promising new class of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...
Persistent link: https://www.econbiz.de/10010263709
The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By applying nonlinear structural equation modelling, these unobservable...
Persistent link: https://www.econbiz.de/10010263749
This article provides a comprehensive econometric analysis of factors driving aggregate mortality rates over time. It differs from previous studies in this field by simultaneously considering an extensive set of macroeconomic, socio-economic and ecological factors as explanatory variables....
Persistent link: https://www.econbiz.de/10010265667
Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...
Persistent link: https://www.econbiz.de/10010274191
The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...
Persistent link: https://www.econbiz.de/10010263673
Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...
Persistent link: https://www.econbiz.de/10010263704
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10010263760