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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - Frankfurt School of Finance and Management - 2012
beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …
Persistent link: https://www.econbiz.de/10010957485
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On the problem of the adequacy estimation of simulation models of the banking business processes
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2010
This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models … of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity …
Persistent link: https://www.econbiz.de/10011260831
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Indirect Estimation of Long Memory Volatility Models
Wilkins, Nigel - Econometric Society - 2004
An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...
Persistent link: https://www.econbiz.de/10005086438
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Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals.
Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 1996
The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.
Persistent link: https://www.econbiz.de/10005087580
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Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market
Society for Computational Economics - SCE - 2001
This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process p_t that is observed only at a subset of times t_1, ...,t_n that depend on the outcome of...
Persistent link: https://www.econbiz.de/10005345625
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Institute - 1999
assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …
Persistent link: https://www.econbiz.de/10005144576
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A Nonparametric Simulated Maximum Likelihood Estimation Method.
Fermanian, J.D.; Salanie, B. - 2001
This paper presents a new simulated maximum-likelihood method that rests on estimating the likelihood nonparametrically on a simulated sample. We prove that this method, which can be used on very general models, is consistent and asymptotically efficient.
Persistent link: https://www.econbiz.de/10005780756
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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10004990816
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Bierens' and Johansen's Method - Complements or Substitutes?
Wagner, Martin - Department of Economics and Finance Research and … - 1999
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example. Drawing on the fact developed in a companion paper that the Johansen procedure has robustness properties against ARMA systems and the Bierens procedure is designed for ARMA...
Persistent link: https://www.econbiz.de/10005704183
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VAR Cointegration in VARMA Models
Wagner, Martin - Department of Economics and Finance Research and … - 1999
derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is … examined through a small simulation study. …
Persistent link: https://www.econbiz.de/10005764151