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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10010270704
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HMM in dynamic HAC models
Härdle, Wolfgang Karl; Okhrin, Ostap; Wang, Weining - 2012
Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC represent a wide class of models for high...
Persistent link: https://www.econbiz.de/10010281541
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Instrumental variable models for discrete outcomes
Chesher, Andrew - 2009
Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated....
Persistent link: https://www.econbiz.de/10010288441
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The Downside Risk of Heavy Tails induces Low Diversification
Hyung, Namwon; de Vries, Casper G. - 2010
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...
Persistent link: https://www.econbiz.de/10010325744
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Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker; Zähle, Henryk - 2010
A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...
Persistent link: https://www.econbiz.de/10010270712
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Models as Measuring Instruments
Rodenburg, Peter - 2004
in models by analysing the measurement of duration dependence of unemployment. Since search theory can’t be made … - provided the models is calibrated - this suffice for measurement. This paper explores this construction of a measuring device … measurement to take place by modelling behaviour according to some assumptions, which operate as constraints. While this Weibull …
Persistent link: https://www.econbiz.de/10010325381
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The measurement of social welfare
Tsuneki, Atsushi - 2007
the present suboptimal economy. We discuss pros and cons of our approach for the measurement of welfare compared with … other approaches to applied welfare economics, especially the measurement of deadweight loss. …
Persistent link: https://www.econbiz.de/10010332307
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A sociological perspective on measuring social norms by means of strategy method experiments
Rauhut, Heiko; Winter, Fabian - 2009
The measurement of social norms plays a pivotal role in many social sciences. While economists predominantly conduct …, on the one hand, often fall short in the measurement of more complex elements, such as the conditionality or the level of …
Persistent link: https://www.econbiz.de/10010267089
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How opportunity costs decrease the probability of war in an incomplete information game
Polachek, Solomon W.; Xiang, Jun - 2008
This paper shows that the opportunity costs resulting from economic interdependence decrease the equilibrium …
Persistent link: https://www.econbiz.de/10010276264
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Identification analysis in models with unrestricted latent variables: Fixed effects and initial conditions
Chesher, Andrew; Rosen, Adam M.; Zhang, Yuanqi - 2023
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This...
Persistent link: https://www.econbiz.de/10014480416