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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - 1999
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...
Persistent link: https://www.econbiz.de/10010324653
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Nonparametric Tests for Serial Independence Based on Quadratic Forms
Diks, Cees; Panchenko, Valentyn - 2005
Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such …. The aim of this paper is to introduce tests for serial independence using kernel-based quadratic forms. This separates the …, the existence of which is no longer required. Exact level tests are obtained by implementing a Monte Carlo procedure using …
Persistent link: https://www.econbiz.de/10010325428
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Are Economic Agents Successful Optimizers? An Analysis through Service Strategy in Tennis
Klaasen, Franc J.G.M.; Magnus, Jan R. - 2006
We consider the question whether top tennis players in a top tournament (Wimbledon) employ an optimal (efficient) service strategy. We show that top players do not, in general, follow an optimal strategy, and we provide a lower bound of the inefficiency. The inefficiency regarding winning a...
Persistent link: https://www.econbiz.de/10010325608
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Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions
Salimans, Tim - 2011
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...
Persistent link: https://www.econbiz.de/10010325783
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Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Casarin, Roberto; Grassi, Stefano; Ravazzollo, Francesco; … - 2019
A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction step is introduced using a sequential...
Persistent link: https://www.econbiz.de/10012114778
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Time-varying effects of housing attributes and economic environment on housing prices
Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; … - 2023
We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external...
Persistent link: https://www.econbiz.de/10014321812
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Are Economic Agents Successful Optimizers? An Analysis Through Service Strategy in Tennis
Klaassen, Franc; Magnus, J.R - 2006
We consider the question whether top tennis players in a top tournament (Wimbledon) employ an optimal (efficient) service strategy. We show that top players do not, in general, follow an optimal strategy, and we provide a lower bound of the inefficiency. The inefficiency regarding winning a...
Persistent link: https://www.econbiz.de/10014057704
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10010324912
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How Large is Average Economic Growth? Evidence from a Robust Method
Boswijk, H. Peter; Franses, Philip Hans - 2002
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...
Persistent link: https://www.econbiz.de/10010324977
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
de Pooter, Michiel D.; Segers, René; van Dijk, Herman K. - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10010325199