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Non-market valuation has become a broadly accepted and widely practiced means of measuring the economic values of the environment and natural resources. In this book, the authors provide a guide to the statistical and econometric practices that economists employ in estimating non-market values
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This paper presents the econometric approach to causal modeling. It is motivated by policy problems. New causal parameters are defined and identified to address specific policy problems...
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We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk...
Persistent link: https://www.econbiz.de/10009475661
Financial risk model evaluation or backtesting is a key part of the internal model’sapproach to market risk management … various evaluation methodologies to gauge the accuracy of riskmodels. We compare evaluation effectiveness using the standard … distribution specification is a moreimportant factor in determining the evaluation performance than the choice of thevolatility …
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In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...
Persistent link: https://www.econbiz.de/10003909186