Similar Search Results

Forecasting Retail Portfolio Credit Risk

Rösch, Daniel; Scheule, Harald - Universität <Regensburg> / Institut für Banken und … - 2004

A major topic in retail lending is the measurement of the inherent portfolio credit risk. Two importantparameters are default probabilities (PDs) and correlations. Both are considered in theNew Basel Accord. Due to limited empirical evidence on their magnitude, in particular for retailcredit...

Persistent link: https://www.econbiz.de/10005867443

Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach

Kovandzic, Tomislav; Schaffer, Mark; Kleck, Gary - Institute for the Study of Labor (IZA) - 2008

numbers of military veterans. In our LATE framework, the estimated impact of gun prevalence is a weighted average of a … possibly negative impact of noncriminal gun prevalence on homicide and a presumed positive impact of criminal gun prevalence …. We find evidence of a significant negative impact, and interpret it as primarily “local to noncriminals”, i.e., primarily …

Persistent link: https://www.econbiz.de/10005822320

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

Pesaran, Bahram; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10005822787

On the Use of Multivariate Cointegration Analysis in Residential Energy Demand Modelling

Madlener, Reinhard - Department of Economics and Finance Research and … - 1996

The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of energy demand elasticities in order to account for the non-stationarity of the time series used. The dynamic modelling approach followed is one based on general-to-specific...

Persistent link: https://www.econbiz.de/10005823244

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS

Sentana, Enrique; Fiorentini, Gabriele - Centro de Estudios Monetarios y Financieros (CEMFI) - 2007

We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

Persistent link: https://www.econbiz.de/10005827090

Diffusion of ISO 9000 Standards and International Trade

Grajek, Michal - Abteilung "Wettbewerbsfähigkeit und industrieller … - 2004

international trade. To assess the actual impact we estimate a gravity equation for bilateral exports incorporating ISO 9000 … than with uncertified firms. Consequently, the positive impact of these standards on trade is more pronounced among ISO …

Persistent link: https://www.econbiz.de/10005827678

Inflation Forecasting in Pakistan using Artificial Neural Networks

Haider, Adnan; Hanif, Muhammad Nadeem - Volkswirtschaftliche Fakultät, … - 2007

An artificial neural network (hence after, ANN) is an information processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and...

Persistent link: https://www.econbiz.de/10005835473

Does Black’s Hypothesis for Output Variability Hold for Mexico?

Macri, Joseph; Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007

Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus,...

Persistent link: https://www.econbiz.de/10005835862

Tendencies in the Romania's Regional Economic Development during the Period 1991-2004

Andrei, Tudorel; Iacob, Andreea Iluzia; Vlad, Liviu Bogdan - Volkswirtschaftliche Fakultät, … - 2007

The objective of this paper represents the analysis of the way the Romania's economic integration in the EU will influence the regional specialization and industrial activities localization within NUTS (the eight regions of Romania) during the period 1991-2004, using absolute measures...

Persistent link: https://www.econbiz.de/10005836485

The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation

Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2006

The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

Persistent link: https://www.econbiz.de/10005837243