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Optimal industrial classification: [an application to the German industrial classification system]
Chipman, John Somerset; Winker, Peter - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1994
of the problem of choosing an aggregative model optimally for modes of aggregation specified in advance leads to a … formula for the aggregation bias based on the mean-square forecast error. Taking this formula as objective function one would … wish to choose a grouping that minimizes aggregation bias. Unfortunately this results in an optimization problem of a high …
Persistent link: https://www.econbiz.de/10010958484
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Finding starting-values for maximum likelihood estimation of vector STAR models
Schleer, Frauke - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
This paper focuses on finding starting-values for maximum likelihood estimation of Vector STAR models. Based on a Monte Carlo exercise, different procedures are evaluated. Their performance is assessed w.r.t. model fit and computational effort. I employ i) grid search algorithms, and ii)...
Persistent link: https://www.econbiz.de/10010957614
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Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Winker, Peter; Gilli, Manfred - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345482
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A review of heuristic optimization methods in econometrics
GILLI, Manfred; WINKER, Peter
Estimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and procedures. However, the solutions to these simplified problems might not be satisfying. A...
Persistent link: https://www.econbiz.de/10005163000
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The convergence of estimators based on heuristics: theory and application to a GARCH model
Winker, Peter; Maringer, Dietmar - In: Computational Statistics 24 (2009) 3, pp. 533-550
Persistent link: https://www.econbiz.de/10005029236
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Replicating Hedge Fund Indices with Optimization Heuristics
GILLI, Manfred; SCHUMANN, Enrico; CABEJ, Gerda; LULA, Jonela - 2010
Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...
Persistent link: https://www.econbiz.de/10008922900
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Finding Starting-Values for the Estimation of Vector STAR Models
Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90
This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...
Persistent link: https://www.econbiz.de/10011147134
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Distributed Optimisation of a Portfolio's Omega
Gilli, Manfred; Schumann, Enrico
We investigate portfolio selection with alternative objective functions in a distributed computing environment. In particular, we optimise a portfolio's 'Omega' which is the ratio of two partial moments of the returns distributions. Since finding optimal portfolios under such performance...
Persistent link: https://www.econbiz.de/10005227620
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Ein nutzungskostenbasierter Ansatz zur Messung des Faktors Kapital in aggregierten Produktionsfunktionen
Knetsch, Thomas A. - Deutsche Bundesbank - 2012
Es wird eine Methode zur Messung des Produktionsfaktors Kapital vorgeschlagen, in der Vermögensarten nach ihrem Nutzungswert im Produktionsprozess gewichtet werden. Dazu werden Nutzungskosten für die einzelnen Anlageklassen mit Hilfe von Daten der Volkswirtschaftlichen Gesamtrechnungen sowie...
Persistent link: https://www.econbiz.de/10010535437
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A user cost approach to capital measurement in aggregate production functions
Knetsch, Thomas A. - Deutsche Bundesbank - 2012
A method is proposed to measure capital services in production. This means that productive assets are weighted according to their user costs. The user costs of the individual asset classes are estimated based on data from the national accounts and other sources. The results show that, in the...
Persistent link: https://www.econbiz.de/10010535442