Similar Search Results

Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182

form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on …. The test is applied to a dataset of US large cap stocks to assess the performance of the Gaussian copula for the … portfolios of assets of various dimension. The Gaussian copula appears to be inadequate to characterize the dependence between …

Persistent link: https://www.econbiz.de/10010589678

Copula goodness-of-fit testing: an overview and power comparison

Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 675-701

Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are …

Persistent link: https://www.econbiz.de/10008603200

Change analysis of dynamic copula for measuring dependence in multivariate financial data.

Guégan, Dominique; Zhang, Jing - Maison des Sciences Économiques, Université Paris 1 … - 2006

in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first … approach only investigates the changes of copula parameters while ignoring the possibility of the changing for the copula … family. The other one stresses to inspect any change for copulas by determining the best copula on every subsamples divided …

Persistent link: https://www.econbiz.de/10005696854

Multivariate goodness-of-fit tests based on Wasserstein distance

Hallin, Marc; Mordant, Gilles; Segers, Johan - 2020

Persistent link: https://www.econbiz.de/10012179699

Generalized information matrix tests for copulas

Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing - In: Econometric reviews 38 (2019) 9, pp. 1024-1054

Persistent link: https://www.econbiz.de/10012181382

Accounting for Unobserved Heterogeneity in Discrete-time, Discrete-choice Dynamic Microsimulation Models. An application to Labor Supply and Household Formation in Italy.

Poggi, Ambra; Richiardi, Matteo - Collegio Carlo Alberto, Università degli Studi di Torino - 2012

This paper analyzes the implications of unobserved heterogeneity in discrete-time, discrete-choice microsimulation models. We compare the predictions coming from simple pooled probit estimates with those obtained using random effect dynamic probit models, in a dynamic microsimulation of...

Persistent link: https://www.econbiz.de/10010615369

Imputing Individual Effects in Dynamic Microsimulation Models. An application of the Rank Method

Richiardi, Matteo; Poggi, Ambra - Collegio Carlo Alberto, Università degli Studi di Torino - 2012

Dynamic microsimulation modeling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We show...

Persistent link: https://www.econbiz.de/10010583573

Imputing Individual Effects in Dynamic Microsimulation Models.An application of the Rank Method.

Poggi, Ambra; Richiardi, Matteo G. - Collegio Carlo Alberto, Università degli Studi di Torino - 2012

Persistent link: https://www.econbiz.de/10010592671

Imputing Individual Effects in Dynamic Microsimulation Models. An application to household formation and labour market participation in Italy

Richiardi, Matteo; Poggi, Ambra - In: International Journal of Microsimulation 7 (2014) 2, pp. 3-39

Dynamic microsimulation modelling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We...

Persistent link: https://www.econbiz.de/10010960067

Working Paper 09-14 - Une méthodologie de projection des ménages : le modèle HPROM (Household PROjection Model)

Vandresse, Marie - Federal Planning Bureau, Government of Belgium - 2014

This Working Paper presents the methodology the Federal Planning Bureau currently utilizes to draw up the Belgian household projections by 2060. This methodology allows for detailed projections of the number of households (at the district level) by household type and according to the factual...

Persistent link: https://www.econbiz.de/10011082393