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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen E.; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
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A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models
Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...
Persistent link: https://www.econbiz.de/10011249490
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010333207
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Nonparametric Estimates for Conditional Quantiles of Time Series
Franke, Jürgen; Mwita, Peter; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10011118447
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Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach
Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91
forecasts on data not utilized in estimating that particular model’s coefficients). Simulations show that the price paid, in …
Persistent link: https://www.econbiz.de/10011031448
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Mathematical framework for pseudo-spectra of linear stochastic difference equations
Bujosa, Marcos; Brun, Andrés Bujosa; García-Ferrer, … - Facultad de Ciencias Económicas y Empresariales, … - 2013
Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the case in which there are AR roots in the unit circle,...
Persistent link: https://www.econbiz.de/10011085404
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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10005263920
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An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011
the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family …The paper assesses estimates of term structure models for the United States. To this end, this paper first describes … of models, and the estimation techniques. It then presents estimations of some of specific models within these families …
Persistent link: https://www.econbiz.de/10009369442
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term … structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms … for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening …
Persistent link: https://www.econbiz.de/10008727797
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Banking Stability Measures
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2009
This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii)...
Persistent link: https://www.econbiz.de/10005826223