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Modelling non-stationary "big data"

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - 2020

Persistent link: https://www.econbiz.de/10012202702

Aristocracy and inequality in Italy : 1861-1931

A'Hearn, Brian; Chianese, Stefano; Vecchi, Giovanni - 2020

Persistent link: https://www.econbiz.de/10012213394

Volatility regressions with fat tails

Kim, Jihyun; Meddahi, Nour - 2020

Persistent link: https://www.econbiz.de/10012216036

Estimation and inference about tail features with tail censored data

Wang, Yulong; Xiao, Zhijie - 2020 - This version: March 2020

Persistent link: https://www.econbiz.de/10012231154

Empirical tail copulas for functional data

Einmahl, John H. J.; Segers, Johan - 2020

Persistent link: https://www.econbiz.de/10012161555

Assessing macroeconomic tail risks in a data-rich environment

Cook, Thomas R.; Doh, Taeyoung - 2019

Persistent link: https://www.econbiz.de/10012151332

The systemic risk of central SIFIs

Chen, Cathy Yi-Hsuan; Nasekin, Sergey - 2017

Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic...

Persistent link: https://www.econbiz.de/10011710562

Estimating the maximum possible earthquake magnitude using extreme value methodology : the Groningen case

Beirlant, Jan; Kijko, Andrzej; Reynkens, Tom; Einmahl, … - 2017

Persistent link: https://www.econbiz.de/10011764578

Outliers in semi-parametric estimation of treatment effects

Ontiveros, Darwin Ugarte; Canavire-Bacarreza, Gustavo; … - 2017

Average treatment effects estimands can present significant bias under the presence of outliers. Moreover, outliers can … outliers. Bad and good leverage points outliers are considered. The bias arises because bad leverage points completely change … the propensity score. We provide some clues to diagnose the presence of outliers and propose a reweighting estimator that …

Persistent link: https://www.econbiz.de/10011778870

Robust Bayesian exponentially tilted empirical likelihood method

Liu, Zhichao; Forbes, Catherine Scipione; Anderson, … - 2017

Persistent link: https://www.econbiz.de/10011782265