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The impact of different data sources on the level and structure of income inequality
Ayala, Luis; Pérez, Ana; Prieto Alaiz, Mercedes - In: SERIEs - Journal of the Spanish Economic Association 13 (2022) 3, pp. 583-611
This paper aims to analyze the effect on measured inequality and its structure of using administrative data instead of … tails of the distribution. In addition to that, there are clear differences in the level and structure of inequality across …
Persistent link: https://www.econbiz.de/10014496120
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A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
Grothe, Oliver; Kächele, Fabian; Schmid, Friedrich - In: Journal of economic inequality 20 (2022) 3, pp. 727-748
Persistent link: https://www.econbiz.de/10013442158
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The impact of different data sources on the level and structure of income inequality
Ayala Cañón, Luis; Pérez, Ana; Prieto Alaiz, Mercedes - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 3, pp. 583-611
This paper aims to analyze the effect on measured inequality and its structure of using administrative data instead of … tails of the distribution. In addition to that, there are clear differences in the level and structure of inequality across …
Persistent link: https://www.econbiz.de/10013459933
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...
Persistent link: https://www.econbiz.de/10010295946
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Estimating a bivariate density when there are extra data on one or both components
Hall, Peter; Neumeyer, Natalie - 2005
difficult in a nonparametric setting. There we suggest a copula-based solution, which has potential benefits even when the … marginal datasets X and Y are empty. For example, if the copula density is sufficiently smooth in the region where we wish to … if the marginals are close to being independent. We suggest using wavelet estimators to approximate the copula density …
Persistent link: https://www.econbiz.de/10010296689
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Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation
Fischer, Matthias J. - 2003
On of the crucial questions in risk management is how to aggregate individual risk into overall portfolio risk.
Persistent link: https://www.econbiz.de/10010299793
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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 …
Persistent link: https://www.econbiz.de/10010299817
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010332621
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Spatial dependencies of wind power and interrelations with spot price dynamics
Elberg, Christina; Hagspiel, Simeon - 2013
Wind power has seen strong growth over the last decade and increasingly affects electricity spot prices. Generation from wind energy is stochastic, and if there is lot of wind, prices tend to be lower. Therefore, for an investor, but also for the whole electricity system, it is important to...
Persistent link: https://www.econbiz.de/10010332651
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The supermodular stochastic ordering
Meyer, Margaret; Strulovici, Bruno - 2013
In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the supermodular stochastic...
Persistent link: https://www.econbiz.de/10010352856