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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011256282
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Institute - 1999
assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …
Persistent link: https://www.econbiz.de/10005144576
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The Use of Spatial Filtering Techniques: The Spatial and Space-time Structure of German Unemployment Data
Patuelli, Roberto; Griffith, Daniel A.; Tiefelsdorf, Michael - Tinbergen Instituut - 2006
Socio-economic interrelationships among regions can be measured in terms of economic flows, migration, or physical geographically-based measures, such as distance or length of shared areal unit boundaries. In general, proximity and openness tend to favour a similar economic performance among...
Persistent link: https://www.econbiz.de/10011255516
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On the Phase Dependence in Time-Varying Correlations Between Time-Series
Blasques, Francisco - Tinbergen Instituut - 2013
This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample...
Persistent link: https://www.econbiz.de/10011255536
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 2011
both estimators. A practical procedure for jointly selecting band- and binwidth parameters is also presented. Simulation …
Persistent link: https://www.econbiz.de/10011255547
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011255562
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Mean and Bold?
Witte, Kristof De; Dijkgraaf, Elbert - Tinbergen Instituut - 2007
See also the article 'Mean and bold: on separating merger economies from structural efficiency gains in the drinking water sector' 2010, <I>The Journal of the Operational Research Society</I>, 61, 222-34.<P> The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly,...</p></i>
Persistent link: https://www.econbiz.de/10011255577
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MDL Mean Function Selection in Semiparametric Kernel Regression Models
Gooijer, Jan G. De; Yuan, Ao - Tinbergen Instituut - 2008
We study the problem of selecting the optimal functional form among a set of non-nested nonlinear mean functions for a semiparametric kernel based regression model. To this end we consider Rissanen's minimum description length (MDL) principle. We prove the consistency of the proposed MDL...
Persistent link: https://www.econbiz.de/10011255588
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011255640
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Mixed Hitting-Time Models
Abbring, Jaap H. - Tinbergen Instituut
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process— a continuous-time process with stationary and independent increments— crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...
Persistent link: https://www.econbiz.de/10011255698