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Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C.G. - 1997
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...
Persistent link: https://www.econbiz.de/10010324719
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Arbeitsbedingungen und gesundheitliche Beschwerden in Basisarbeit: Eine sektorübergreifende Untersuchung im Dienstleistungsbereich
Lück, Marcel; Hünefeld, Lena; Kaboth, Arthur - In: Zeitschrift für Arbeitswissenschaft 77 (2023) 4, pp. 553-566
In diesem Beitrag werden Arbeitsanforderungen, Ressourcen und Gesundheit von Basisarbeitenden in den Dienstleistungssektoren Handel, Finanzwesen und öffentliche Dienstleistungen untersucht. Als Datengrundlage dient die aktuelle Erhebung der BIBB/BAuA-Erwerbstätigenbefragung 2018, eine...
Persistent link: https://www.econbiz.de/10015180682
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Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches
Herold, Ulf; Maurer, Raimond - 2002
approach introduced by Michaud (1998), resampling efficiency. Michaud argues that the limitations of MV efficiency in practice … that leads to new procedures that can reduce estimation risk. Resampling efficiency has been contrasted to standard … fill this gap. Optimal portfolios based on the Bayes/Stein estimator and resampling efficiency are compared in an empirical …
Persistent link: https://www.econbiz.de/10010316250
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Fast methods for jackknifing inequality indices
Karoly, Lynn A.; Schröder, Carsten - 2013
The jackknife is a resampling method that uses subsets of the original database by leaving out one observation at a …
Persistent link: https://www.econbiz.de/10010335356
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Generated covariates in nonparametric estimation: A short review
Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2012
In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...
Persistent link: https://www.econbiz.de/10010318739
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010270808
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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim; Podolski, Mark - 2005
We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...
Persistent link: https://www.econbiz.de/10010296680
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel; Memmel, Christoph - 2009
Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n = d 2 and number of assets d = 4. The...
Persistent link: https://www.econbiz.de/10010298777
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Untersuchung asymptotischer Eigenschaften von Schätzern diskreter bivariater Copula Modelle mit Kovariablen
Meinel, Nina - 2007
Diskrete Copula Modelle bilden die Abhängigkeiten zwischen multiplen kategorialen Responses sowie die Einflüsse von Kovariablen auf die jeweiligen Responses ab. In einer Simulationsstudie soll das Verhalten von Schätzern diskreter Copula Modelle bei unterschiedlichen Strukturen der...
Persistent link: https://www.econbiz.de/10010299817
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010303678