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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10010324653

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

Persistent link: https://www.econbiz.de/10011301159

Bierens' and Johansen's method - complements or substitutes?

Wagner, Martin - 1999

Persistent link: https://www.econbiz.de/10001451692

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304

A Scaled Difference Chi-Square Test Statistic for Moment Structure Analysis

Satorra, Albert; Bentler, Peter M. - 2000

A family of scaling corrections aimed to improve the chi-square approximation of goodness-of-fit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, Satorra-Bentler's (SB) scaling corrections are...

Persistent link: https://www.econbiz.de/10014173788

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Camponovo, Lorenzo - 2011

asymptotic refinements implied with respect to the standard asymptotic theory. Our approach delivers the same higher order …

Persistent link: https://www.econbiz.de/10014178027

Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations

Rossi, Eduardo; Pastorello, Sergio - 2011

Maximum likelihood estimation (MLE) of stochastic differential equations (SDEs) is difficult because in general the transition density function of these processes is not known in closed form, and has to be approximated somehow. An approximation based on efficient importance sampling (EIS) is...

Persistent link: https://www.econbiz.de/10014183458

Estimating Dynamic Equilibrium Economies : Linear Versus Nonlinear Likelihood

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2014

simulation methods. The Kalman filter estimates a linearization of the economy around the steady state. We report two main …

Persistent link: https://www.econbiz.de/10014048591

A Compound Gauss-Markov Random Field (CGMRF) Modeling of Philippine Unemployment Data

Navarro, Rolando Danganan; Albert, Jose Ramon - 2007

The presence of discontinuities in the January rounds of Philippine Unemployment Data from 1981-2006 is investigated by way of modeling these data as a noisy Compound Gauss-Markov Random Fields (CGMRF). The likelihood and prior hyper-parameters are respectively estimated with wavelet shrinkage...

Persistent link: https://www.econbiz.de/10014053163

'Zero' Option in Conjoint Analysis : A New Specification of the Indecision and the Refusal - Application to the Video on Demand Market

Saporta, Gilbert; Ohannessian, Silva - 2010

This paper undertakes a study about the "zero" option in conjoint analysis. The "zero" option relates to the no choice of products presented to individuals within the frame of a survey. This no choice embeds two distinct concepts, the refusal and the conflict. The first represents the...

Persistent link: https://www.econbiz.de/10014195768