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On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

Persistent link: https://www.econbiz.de/10005854718

Formative measurement models in covariance structure analysis: Specification and identification

Hildebrandt, Lutz; Temme, Dirk - 2006

Many researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphically-oriented approach is...

Persistent link: https://www.econbiz.de/10010263664

Probleme der Validierung mit Strukturgleichungsmodellen

Hildebrandt, Lutz; Temme, Dirk - 2006

This article evaluates the performance of structural equation models in validating measurement models for hypothetical constructs and deals with specific issues following from the way this methodology is typically applied in scale construction. In particular, controlling for various types of...

Persistent link: https://www.econbiz.de/10010263663

On the appropriateness of inappropriate VaR models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard - 2006

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Persistent link: https://www.econbiz.de/10010274278

Generalized exogenous processes in DSGE: A Bayesian approach

Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...

Persistent link: https://www.econbiz.de/10011335461

CRIX or evaluating blockchain based currencies

Härdle, Wolfgang Karl; Trimborn, Simon - 2015

More and more companies start offering digital payment systems. Smartphones evolve to a digital wallet such that it seems like we are about to enter the era of digital finance. In fact we are already inside an digital economy. The market of e-x (x = "finance", "money", "book", you name it ... )...

Persistent link: https://www.econbiz.de/10011380694

Dynamics of real per capita GDP

Neuhoff, Daniel - 2015

This study investigates the dynamics of quarterly real GDP per capita growth rates across four countries, the US, UK, Canada and France. I obtain estimates for ARIMA(p,q) processes for first differences of log quarterly real GDP per capita using Reversible Jump Markov Chain Monte Carlo, allowing...

Persistent link: https://www.econbiz.de/10011380697

CRIX or evaluating blockchain based currencies

Trimborn, Simon; Härdle, Wolfgang Karl - 2016

The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...

Persistent link: https://www.econbiz.de/10011531897

Statistics E-learning Platforms Evaluation: Case Study

Ahmad, Taleb; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

students views? In this paper,we consider evaluate e-learning systems in statistics. We make an evaluation study, weanalyze a … students sample of the methods: Factor analysis, Logit model. The commonaim of this evaluation is to provide data to justify …. Thequestionnaire covers information about e-learning evaluation criterias. Some of thesecriterias are: Navigability, applicability …

Persistent link: https://www.econbiz.de/10005862546

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

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