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Portfolio value at risk based on independent components analysis

Chen, Ying (contributor); Härdle, Wolfgang (contributor); … - 2005

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Persistent link: https://www.econbiz.de/10003324161

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton V. (contributor) - 2008

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Persistent link: https://www.econbiz.de/10003727376

Estimation and determinants of Chinese banks' total factor efficiency : a new vsion based on unbalanced development of Chinese banks and their overall risk

Shiyi, Chen; Härdle, Wolfgang; Wang, Li - 2014

-product for the estimation of banks' total factor efficiency (TFE) as well as TFE of each production factor. A unique data sample … of 171 Chinese commercial banks, which is the largest data sample concerning with Chinese banking efficiency issues until … efficiency, and finds that a model with risk-weighted assets as undesirable outputs can better capture the impact of shadow …

Persistent link: https://www.econbiz.de/10010436522

Expectile treatment effects : an efficient alternative to compute the distribution of treatment effects

Stahlschmidt, Stephan; Eckardt, Matthias; Härdle, Wolfgang - 2014

The distribution of treatment e ects extends the prevailing focus on average treatment e ects to the tails of the outcome variable and quantile treatment effects denote the predominant technique to compute those effects in the presence of a confounding mechanism. The underlying quantile...

Persistent link: https://www.econbiz.de/10010418026

Simultaneous likelihood-based bootstrap confidence sets for a large number of models

Zhilova, Mayya - 2015

The paper studies a problem of constructing simultaneous likelihood-based confidence sets. We consider a simultaneous multiplier bootstrap procedure for estimating the quantiles of the joint distribution of the likelihood ratio statistics, and for adjusting the confidence level for multiplicity....

Persistent link: https://www.econbiz.de/10011296792

Change point and trend analyses of annual expectile curves of tropical storms

Burdejova, Petra; Härdle, Wolfgang Karl; Kokoszka, Piotr; … - 2015

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...

Persistent link: https://www.econbiz.de/10010529335

Bootstrap confidence sets under model misspecification

Spokojnyj, Vladimir G.; Zhilova, Mayya - 2014

A multiplier bootstrap procedure for construction of likelihood-based confidence sets is considered for finite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small or moderate sample size and allow to control the impact of the parameter...

Persistent link: https://www.econbiz.de/10010436527

Pricing Bermudan options using regression : optimal rates of convergence for lower estimates

Belomestny, Denis - 2009

The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some estimates of continuation values. These estimates may be of...

Persistent link: https://www.econbiz.de/10003828655

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test of Saikkonen & Lütkepohl (2000) for trend-adjusted data to the panel...

Persistent link: https://www.econbiz.de/10003796158

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