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An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10010324653
how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with …
Persistent link: https://www.econbiz.de/10010267037
estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …
Persistent link: https://www.econbiz.de/10011709583
The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...
Persistent link: https://www.econbiz.de/10010311007
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012020272
This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator … datasets. Our approach provides a superior alternative to existing estimation options by allowing researchers to retain the …
Persistent link: https://www.econbiz.de/10012160886
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …
Persistent link: https://www.econbiz.de/10010263621
attractive attracted under risk conditions. …
Persistent link: https://www.econbiz.de/10014477251
with small length. Utilizing our results, we introduce a Monte Carlo-based method of estimation for the tail exponent. Our …
Persistent link: https://www.econbiz.de/10010322298
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
Persistent link: https://www.econbiz.de/10010332196