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A Functional Coefficient Model View of the Feldstein-Horioka Puzzle
Herwartz, Helmut - 2009
What does the saving-investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to...
Persistent link: https://www.econbiz.de/10013159487
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …
Persistent link: https://www.econbiz.de/10003891679
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …
Persistent link: https://www.econbiz.de/10003953027
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the …
Persistent link: https://www.econbiz.de/10009540165
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Frequency-domain evidence for climate change
Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15
The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...
Persistent link: https://www.econbiz.de/10012265709
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Using lasso-type penalties to model time-varying covariate effects in panel data regressions : a novel approach illustrated by the 'death of distance' in international trade
Hess, Wolfgang; Persson, Maria; Rubenbauer, Stephanie; … - 2013
When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized regression techniques. To illustrate the usefulness of...
Persistent link: https://www.econbiz.de/10009722024
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Median-Unbiased Estimation in Df-Gls Regressions and the Ppp Puzzle
Lopez, Claude; Murray, Christian J.; Papell, David H. - 2008
Using median-unbiased estimation, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3 … the resulting unit root test has low power. We extend median-unbiased estimation to the DF-GLS regression of Elliott …, Rothenberg, and Stock (1996). We find that median-unbiased estimation based on this regression has the potential to tighten …
Persistent link: https://www.econbiz.de/10014074116
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A functional coefficient model view of the Feldstein-Horioka puzzle
Herwartz, Helmut; Xu, Fang - 2007
What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...
Persistent link: https://www.econbiz.de/10010296278
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Robust Value at Risk Prediction : Appendix
Mancini, Loriano - 2010
forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
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Divorce and the Business Cycle : A Cross-Country Analysis
González-Val, Rafael - 2015
In this paper, we examine the role of the business cycle in divorce. To do so, we use a panel of 29 European countries covering the period from 1991 to 2012. We find the unemployment rate negatively affects the divorce rate, pointing to a pro-cyclical evolution of the divorce rate, even after...
Persistent link: https://www.econbiz.de/10013011199