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, but then a bias term with unknown sign has to be estimated. We provide an estimator for this sign and the full programme …. Simulation results are also presented.It is weIl known that extreme value parameter estimators which balance the asymptotic bias …
Persistent link: https://www.econbiz.de/10010325182
Parameters in AutoRegressive Moving Average (ARMA) models are locally nonidentified, due to the problem of root cancellation. Parameters can be constructed which represent this identification problem. We argue that ARMA parameters should be analyzed conditional on these identifying...
Persistent link: https://www.econbiz.de/10010324701
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010324710
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10010324712
After decades of government growth, Western countries have witnessed major policy reversals. Prominent examples include the far-reaching policy reversals implemented by Thatcher, Reagan, and Douglas. This paper offers an explanation for these policy reversals. Our key argument rests on the...
Persistent link: https://www.econbiz.de/10010324722
Portfolio risk is in an important way driven by 'abnormal' returns emanating from heavy tailed distributed asset returns. The theory of regular variation and extreme values provides a model for this feature of financial data. We first review this theory and subsequently study the problem of...
Persistent link: https://www.econbiz.de/10010324748
influencingeconomic growth performance as opposed to an experiment in direct signalling . …
Persistent link: https://www.econbiz.de/10010324765
Collective decision procedures should balance the incentives they provide toacquire information and their capacity to aggregate private information. In a decisionproblem in which a project can be accepted or rejected once information about its qualityhas been acquired or not, we compare the...
Persistent link: https://www.econbiz.de/10010324768
Empirical studies showed that many types of network traffic exhibit long-range dependence (LRD),i.e., burstiness on a wide variety of time-scales. Given that traffic streams are indeed endowed withLRD properties, a next question is: what is their impact on network performance? To assess...
Persistent link: https://www.econbiz.de/10010324772
Can vanity do any good? It may seem obvious to answer this question in the negative, as economists have shown how reputational concerns lead agents e.g. to ignore valuable information, to herd, and to become overly risk averse. We explore how proud agents may be a social blessing. An agent may...
Persistent link: https://www.econbiz.de/10010324778