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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333
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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Social capital and the labor market
2015
Persistent link: https://www.econbiz.de/10014306504
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011583206
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Inference about non-identified SVARs
Giacomini, Raffaella; Kitagawa, Toru - 2014
We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when the impulse response is not point identified because the number of equality restrictions one can credibly impose is not sufficient for point identification and/or one imposes sign...
Persistent link: https://www.econbiz.de/10011445698
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Robust Bayesian inference in proxy SVARs
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2020
We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the parameters of interest are set-identified using external instruments, or 'proxy SVARs'. Set-identification in these models typically occurs when there are multiple instruments for multiple...
Persistent link: https://www.econbiz.de/10012621090
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Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities
Horowitz, Joel; Lee, Sokbae - 2021
This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of...
Persistent link: https://www.econbiz.de/10012667933