Narrow search
Showing 1 - 10 of 17,938
Cover Image
Uniform asymptotic risk of averaging GMM estimator robust to misspecification
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - 2015 - Rev., second version
Persistent link: https://www.econbiz.de/10011326763
Cover Image
On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper …
Persistent link: https://www.econbiz.de/10012049321
Cover Image
Bayesian analysis in an aggregate loss model : validation of the structure functions
Hernández-Bastida, Agustín; Pérez-Sánchez, José María - In: The journal of risk model validation 11 (2017) 3, pp. 19-47
Persistent link: https://www.econbiz.de/10011762992
Cover Image
Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
Cover Image
A nonlinear expectations model of the term structure of interest rates with time-varying risk premia
Lee, Bong-soo - In: Journal of money, credit and banking : JMCB 21 (1989) 3, pp. 348-367
Persistent link: https://www.econbiz.de/10001074068
Cover Image
Modeling model uncertainty
Onatski, Alexei (contributor); Williams, Noah (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001697093
Cover Image
Modeling model uncertainty
Onatski, Alexei; Williams, Noah - 2003
Persistent link: https://www.econbiz.de/10001746748
Cover Image
Modeling model uncertainty
Onatski, Alexei; Williams, Noah - In: Journal of the European Economic Association 1 (2003) 5, pp. 1089-1122
Persistent link: https://www.econbiz.de/10001824473
Cover Image
A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
Cover Image
Modeling model uncertainty : international seminar on macroeconomics
Onatski, Alexei - 2002
Persistent link: https://www.econbiz.de/10013434492