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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10005263920
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Stable graphical model estimation with Random Forests for discrete, continuous, and mixed variables
Fellinghauer, Bernd; Bühlmann, Peter; Ryffel, Martin; … - In: Computational Statistics & Data Analysis 64 (2013) C, pp. 132-152
Random Forests in combination with Stability Selection allow to estimate stable conditional independence graphs with an error control mechanism for false positive selection. This approach is applicable to graphs containing both continuous and discrete variables at the same time. Its performance...
Persistent link: https://www.econbiz.de/10011056520
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Cunoaştere matematică şi comprehensiune economică
Emil, Dinga - In: Revista OEconomica (2010) 03
The present study presents a general scheme of the categories of human activities, integrating mathematics into the …
Persistent link: https://www.econbiz.de/10009140947
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A logical critique of mathematical formalism in economics
Dennis, Ken - In: Journal of Economic Methodology 3 (1996) 1, pp. 151-169
Mathematical economic theory is lacking in logical rigour. Even if the mathematics used in constructing formal economic … theory is rigorous as pure mathematics, economic theory possesses both mathematical and non-mathematical components. But …, distinguished, and integrated. However, the real challenge to formalizing economic theory points not to mathematics but to problems …
Persistent link: https://www.econbiz.de/10009219429
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A logical critique of mathematical formalism in economics
Dennis, Ken - In: Journal of Economic Methodology 2 (1995) 2, pp. 181-200
Mathematical economic theory is lacking in logical rigour. Even if the mathematics used in constructing formal economic … theory is rigorous as pure mathematics, economic theory possesses both mathematical and non-mathematical components. But …, distinguished, and integrated. However, the real challenge to formalizing economic theory points not to mathematics but to problems …
Persistent link: https://www.econbiz.de/10009219473
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A Note on Mixture Sets in Decision Theory.
Mongin, P. - Center for Operations Research and Econometrics (CORE), … - 1996
Mixture sets were introduced by Herstein and Milnor (1953) into decision theory, where they are still widely used. This …
Persistent link: https://www.econbiz.de/10005478938
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Turnpikes.
McKenzie, L.W. - University of Rochester - Center for Economic Research … - 1998
accumulation to the theory of competitive equilibrium over time. Finally I will make some remarks on the relations of this … literature to some recent developments in the theory of economic growth which are often referred to comprehensively as the New … Growth Theory. …
Persistent link: https://www.econbiz.de/10005698152
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Financial Deepening, Inequality, and Growth; A Model-Based Quantitative Evaluation
Townsend, Robert M.; Ueda, Kenichi - International Monetary Fund (IMF) - 2003
We propose a coherent unified approach to the study of the linkages among economic growth, financial structure, and inequality, bringing together disparate theoretical and empirical literature. That is, we show how to conduct model-based quantitative research on transitional paths. With...
Persistent link: https://www.econbiz.de/10005825597
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Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
Gao, Jiti; Hong, Yongmiao - Volkswirtschaftliche Fakultät, … - 2007
In this paper, we establish some new central limit theorems for generalized U-statistics of dependent processes under some mild conditions. Such central limit theorems complement existing existing results available from both the econometrics literature and statistics literature. We then look at...
Persistent link: https://www.econbiz.de/10005836931
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Limit theorems for bifurcating integer-valued autoregressive processes
Bercu, Bernard; Blandin, Vassili - In: Statistical Inference for Stochastic Processes 18 (2015) 1, pp. 33-67
<Para ID="Par1">We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with a quadratic strong...</para>
Persistent link: https://www.econbiz.de/10011240816