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Statistics E-learning Platforms Evaluation: Case Study

Ahmad, Taleb; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

students views? In this paper,we consider evaluate e-learning systems in statistics. We make an evaluation study, weanalyze a … students sample of the methods: Factor analysis, Logit model. The commonaim of this evaluation is to provide data to justify …. Thequestionnaire covers information about e-learning evaluation criterias. Some of thesecriterias are: Navigability, applicability …

Persistent link: https://www.econbiz.de/10005862546

Extreme Value Theory for Tail-Related Risk Measures

Kellezi, Evis; Gilli, Manfred - 2000

This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.

Persistent link: https://www.econbiz.de/10005843224

Econometric Causality

Heckman, James J. - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008

This paper presents the econometric approach to causal modeling. It is motivated by policy problems. New causal parameters are defined and identified to address specific policy problems...

Persistent link: https://www.econbiz.de/10005860258

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

Persistent link: https://www.econbiz.de/10005858906

Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

Persistent link: https://www.econbiz.de/10005854964

Testing for Stochastic Dominance Efficiency

Scaillet, Olivier; Topaloglou, Nikolas - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

Persistent link: https://www.econbiz.de/10005858776

Value Chain AnalysisMethodologies in the Context ofEnvironment and Trade Research

Faße, Anja; Grote, Ulrike; Winter, Etti - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2009

equilibrium models, econometrics, and globalcommodity chain analysis. Accounting of flows includes different physical (e.g. life …

Persistent link: https://www.econbiz.de/10005867301

Financial Markets as a Complex System : a Short Time Scale Perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10005843734

The Quantification of Operational Risk

Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We examine the quantiﬁcation of operational risk for banks. We adopt a ﬁnancial-economics approach and interpret operational risk management as a means of optimizing the proﬁtability of an institution along its value chain. We start by deﬁning operational risk and then propose a...

Persistent link: https://www.econbiz.de/10005858319

A Simple Model of Credit Contagion

Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...

Persistent link: https://www.econbiz.de/10005858362

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