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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

Persistent link: https://www.econbiz.de/10005144576

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Instituut - 1999

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

Persistent link: https://www.econbiz.de/10011256282

How Large is Average Economic Growth? Evidence from a Robust Method

Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Instituut - 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/10011256858

How Large is Average Economic Growth? Evidence from a Robust Method

Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Institute - 2002

This paper puts forward a method to estimate average economic growth, and its associated confidence bounds, which does not require a formal decision on potential unit root properties. The method is based on the analysis of either difference-stationary or trend-stationary time series models,...

Persistent link: https://www.econbiz.de/10005136924

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Instituut - 2006

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

Persistent link: https://www.econbiz.de/10011256642

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, Francisco - Tinbergen Instituut - 2012

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

Persistent link: https://www.econbiz.de/10011257412

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2006

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

Persistent link: https://www.econbiz.de/10005137378

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Instituut - 2005

&dq=allesintitel:+%22The+Refinement+of+Econometric+Estimation+and+Test+Procedures%22&lr=&source=gbs_navlinks_s"><B>The Refinement of … Econometric Estimation and Test Procedures</B></A>.<P>An attempt is made to set rules for a fair and fruitful competition between …

Persistent link: https://www.econbiz.de/10011256693

Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes

Kiviet, Jan F. - Tinbergen Instituut - 2012

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

Persistent link: https://www.econbiz.de/10011256767

Penalized Indirect Inference

Blasques, Francisco; Duplinskiy, Artem - Tinbergen Instituut - 2015

since priors offer a way to exert control over the estimation results. This paper proposes a penalized indirect inference …

Persistent link: https://www.econbiz.de/10011257031