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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10003846947
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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...
Persistent link: https://www.econbiz.de/10009725480
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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Testing the presence of implicit hiring quotas with application to German universities
Janys, Lena - 2022
Women are underrepresented in academia in general and economics in particular. I introduce a test to detect an under-researched form of hiring bias: implicit quotas. I derive a test under the null hypothesis of gender-blind hiring that requires no additional information about individual hires...
Persistent link: https://www.econbiz.de/10013194261
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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
Persistent link: https://www.econbiz.de/10001736260
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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien
Bemmann, Martin (contributor) - 2005
Persistent link: https://www.econbiz.de/10003079808
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
Persistent link: https://www.econbiz.de/10001715636
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A formalization of seasonal encompassing with an application to a German macromodel
Beyer, Andreas - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 315-323
Persistent link: https://www.econbiz.de/10001603251