Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10003670922
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10009487233
Persistent link: https://www.econbiz.de/10010528202
Persistent link: https://www.econbiz.de/10003725190
In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...
Persistent link: https://www.econbiz.de/10013159079
Estimating the credit risk parameter exposure at default is important for banks from an internal risk management and a regulatory perspective. Several approaches are common in the literature and in practice. We theoretically and empirically analyze how the exposure at default should be modeled...
Persistent link: https://www.econbiz.de/10012936894
Persistent link: https://www.econbiz.de/10014226388
Advanced tree-based estimation methods, such as random forest, are ensembles of regression trees that are built using random subsets of explanatory variables. However, because of the random selection process, relevant variables may not be considered in some regression trees, thereby reducing...
Persistent link: https://www.econbiz.de/10013405172