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Firm-level exchange rate exposure in the Eurozone

Hutson, Elaine; O'Driscoll, Anthony

Using a sample of 1154 European firms from 11 countries, we show that firm-levelexchange exposure for Eurozone and non-Eurozone … European firms has increased sincethe introduction of the euro, but this rise was smaller for Eurozone than non … Eurozone countries, so the advent of the euroappears to have been associated with a shift in exchange risk from systematic to …

Persistent link: https://www.econbiz.de/10009475709

Das Optionswertmodell zur Erklärung der Rentenentscheidung

Kempf, Stefan - 2007

Diese empirische Arbeit untersucht Determinanten des Renteneintritts. Sie basiert auf einem Optionswertmodell, um die Bedeutung finanzieller Überlegungen für ein Aufschieben des Renteneintritts zu analysieren. Zusätzlich wird der Einfluss institutioneller Rahmenbedingungen betrachtet. Ein neu...

Persistent link: https://www.econbiz.de/10009433693

Bedeutung der Spezifikation für Ratingmodelle

Rönnberg, Michael - 2010

Ziel dieser Arbeit ist die Untersuchung der Bedeutung der Spezifikation für Ratingmodelle zur Prognose von Kreditausfallwahrscheinlichkeiten. Ausgehend von dem in der Bankenpraxis etablierten Logit-Modell werden verschiedene Modellerweiterungen diskutiert und hinsichtlich ihrer Eigenschaften...

Persistent link: https://www.econbiz.de/10009433704

Stochastic volatility : maximum likelihood estimation and specification testing

White, Scott Ian - 2006

Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns. While SV models have a number of theoretical advantages over competing variance modelling procedures they are notoriously difficult to estimate. The distinguishing feature of...

Persistent link: https://www.econbiz.de/10009437989

Asymptotics for the maximum likelihood estimators of diffusion models

Park, Joon Y. (contributor) - 2008

In this paper I derive the asymptotics of the exact, Euler, and Milstein MLestimators for diffusion models, including general nonstationary diffusions. Thoughthere have been many estimators for the diffusion model, their asymptotic propertieswere generally unknown. This is especially true for...

Persistent link: https://www.econbiz.de/10009465058

On the Numerics of Estimating Generalized Hyperbolic Distributions

Wang, Congcong - 2005

An important empirical fact in financial market is that return distributions are often skewed and heavy-tailed. This paper employs maximum likelihood estimation to estimate the five parameters of generalized hyperbolic distribution, a highly flexible heavy-tailed distribution. The estimation...

Persistent link: https://www.econbiz.de/10009467247

Exponential Smoothing for Forecasting and Bayesian Validation of Computer Models

Wang, Shuchun - 2006

Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple...

Persistent link: https://www.econbiz.de/10009475950

Multiclus: A new method for simultaneously performing multidimensional scaling and cluster analysis

Jedidi, Kamel; DeSarbo, Wayne S.; Howard, Daniel J. - 1991

This paper develops a maximum likelihood based method for simultaneously performing multidimensional scaling and cluster analysis on two-way dominance or profile data. This MULTICLUS procedure utilizes mixtures of multivariate conditional normal distributions to estimate a joint space of...

Persistent link: https://www.econbiz.de/10009476613

A stochastic multidimensional scaling procedure for the empirical determination of convex indifference curves for preference/choice analysis

DeSarbo, Wayne S.; Jedidi, Kamel; Steckel, Joel H. - 1991

The vast majority of existing multidimensional scaling (MDS) procedures devised for the analysis of paired comparison preference/choice judgments are typically based on either scalar product (i.e., vector) or unfolding (i.e., ideal-point) models. Such methods tend to ignore many of the essential...

Persistent link: https://www.econbiz.de/10009476614

A stochastic multidimensional scaling procedure for the spatial representation of three-mode, three-way pick any/ J data

DeSarbo, Wayne S.; Jedidi, Kamel - 1991

This paper presents a new stochastic multidimensional scaling procedure for the analysis of three-mode, three-way pick any/ J data. The method provides either a vector or ideal-point model to represent the structure in such data, as well as “floating” model specifications (e.g., different...

Persistent link: https://www.econbiz.de/10009476615