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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 quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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A study on equity home bias using vine copula approach
Garg, Jyoti; Karmakar, Madhusudan; Paul, Samit - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
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The millennium peak in club convergence - what the critical Bandwidth can say about distributional changes in the wealth of nations
Krause, Melanie - In: Econometric advances in the analysis of income …, (pp. 89-135). 2014
Persistent link: https://www.econbiz.de/10011302106
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The millennium peak in club convergence : a new look at distributional changes in the wealth of nations
Krause, Melanie - In: Journal of applied econometrics 32 (2017) 3, pp. 621-642
Persistent link: https://www.econbiz.de/10011694772
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10003477963
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Growth accounting and regressions : new approach and results
Sequeira, Tiago Neves; Morão, Hugo - In: International economics : a journal published by CEPII … 162 (2020), pp. 67-79
Persistent link: https://www.econbiz.de/10012795643
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A New Approach to Bootstrap Inference in Functional Coefficient Models
Herwartz, Helmut - 2009
To infer on functional dependence of regression parameters, a new, factor based bootstrap approach is introduced that is robust under various forms of heteroskedastic error terms. Modeling the functional coefficient parametrically, the bootstrap approximation of an F-statistic is shown to hold...
Persistent link: https://www.econbiz.de/10013154593
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Measuring globalization : better trade statistics for better policy
Houseman, Susan N. (contributor);  … - 2015
Persistent link: https://www.econbiz.de/10010499558
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International income inequality : measuring PPP bias by estimating Engel curves for food
Almås, Ingvild - 2010
Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we … estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is … bias and the bias in consumer price index (CPI) numbers. The PPP bias and subsequent corrected incomes are measured by …
Persistent link: https://www.econbiz.de/10008732283
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Essays on lobbying and corruption
Ujhelyi, Gergely - 2007
Persistent link: https://www.econbiz.de/10009707940