Narrow search
Showing 1 - 10 of 123
Cover Image
Robust Resampling Methods for Time Series
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - Finrisk - 2009
We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify … ren-der inferences based on standard resampling methods useless already in simple estimation andtesting settings. To solve … this problem, we introduce a robust fast resampling scheme that isapplicable to a wide class of time series settings.[...] …
Persistent link: https://www.econbiz.de/10005868574
Cover Image
Testing for Equality between Two Copulas
Rémillard, Bruno; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are...
Persistent link: https://www.econbiz.de/10005858034
Cover Image
Hypothesis Testing in Econometrics
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - National Centre of Competence in ResearchFinancial … - 2009
mostimportant methods are summarized, as well as resampling methodology which is useful toset critical values. Finally, we consider …
Persistent link: https://www.econbiz.de/10005868540
Cover Image
Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered
Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - Institut für Finanzwirtschaft <Braunschweig> - 2009
Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...
Persistent link: https://www.econbiz.de/10005869534
Cover Image
Asymmetry in Tail Dependence of Equity Portfolios
Jondeau, Eric - National Centre of Competence in Research - Financial … - 2010
In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....
Persistent link: https://www.econbiz.de/10009487001
Cover Image
MODELING EMPLOYMENT DYNAMICS WITH STATEDEPENDENCE AND UNOBSERVED HETEROGENEITY
Prowse, Victoria - University <Oxford> / Department of Economics - 2007
This paper considers the problem of determining the extent of any state dependen-cies in women's labor supply behavior. Employment outcomes are modeled using adynamic multinomial choice framework including persistent unobserved heterogeneitywith a relatively general distribution. In order to...
Persistent link: https://www.econbiz.de/10005870143
Cover Image
Bimodal t-ratios: The Impact of Thick Tails on Inference
Fiorio, Carlo V.; Hajivassiliou, Vassilis; Phillips, … - University of Milan and Econpubblica; London School of …; … - 2008
This paper studies the distribution of the classical t-ratio with data generatedfrom distributions with no nite moments and shows how classical testing is affectedby bimodality. A key condition in generating bimodality is independenceof the observations in the underlying data generating process...
Persistent link: https://www.econbiz.de/10008911511
Cover Image
Panel CointegrationTesting in the Presenceof a Time Trend
Droge, Bernd; Karaman Örsal, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
The purpose of this paper is to propose a new likelihood-based panel cointegration testin the presence of a linear time trend in the data generating process. This new test is an extensionof the likelihood ratio (LR) test of Saikkonen & L¨utkepohl (2000) for trend-adjusteddata to the panel data...
Persistent link: https://www.econbiz.de/10008939793
Cover Image
Robust Predictive Regression
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
A large literature studies the predictability of stock returns by other lagged nancialvariables in a predictive regression setting. A common feature of widely used testingprocedures is a failing robustness, which may lead to misleading conclusions determinedby the particular features of a small...
Persistent link: https://www.econbiz.de/10009248833
Cover Image
The dynamics of real exchange rates – A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...
Persistent link: https://www.econbiz.de/10009302598