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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates : Inter-Day Versus Intra-Day Data
Degiannakis, Stavros Antonios - 2018
In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to investigate whether an inter-day or an intra-day model provides accurate predictions. We investigate the performance of inter-day and intra-day volatility models by estimating the...
Persistent link: https://www.econbiz.de/10012910113
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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns
Adcock, Christopher J. - 2013
Persistent link: https://www.econbiz.de/10013090404
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - 2018
extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …
Persistent link: https://www.econbiz.de/10011798456
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Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
Fisher, Mark - 2020
extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …
Persistent link: https://www.econbiz.de/10012852769
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Nonparametric Slope Estimators for Fixed-Effect Panel Data
Mundra, Kusum - 2008
In panel data the interest often is in slope estimation while taking account of the unobserved cross sectional … variable. Simulation results suggest that the new nonparametric estimators perform better than the parametric counterparts …
Persistent link: https://www.econbiz.de/10014064831
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Time-varying effects of housing attributes and economic environment on housing price
Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; … - 2023
linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch …
Persistent link: https://www.econbiz.de/10014313698
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State dependence in the finance-growth nexus : a functional coefficient approach
Herwartz, Helmut; Walle, Yabibal - 2013
Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...
Persistent link: https://www.econbiz.de/10009752169
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The inequality-growth plateau
Henderson, Daniel J.; Qian, Junhui; Wang, Le - 2015
We examine the (potentially nonlinear) relationship between inequality and growth using a method which does not require an a priori assumption on the underlying functional form. This approach reveals a plateau completely missed by commonly used (nonlinear) parametric approaches - the economy...
Persistent link: https://www.econbiz.de/10010469680
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The environmental Kuznets curve : a semiparametric approach with cross-sectional dependence
Soberon, Alexandra; D'Hers, Irene - In: Journal of risk and financial management : JRFM 13 (2020) 11/292, pp. 1-23
particular, we propose to test the Environmental Kuznets Curve (EKC) hypothesis for a panel of 24 OECD countries and 32 non …-OECD countries by developing a more flexible estimation technique which enables to account for functional form misspecification … semiparametric panel data model. Our results corroborates that the nature and validity of the income–pollution relationship …
Persistent link: https://www.econbiz.de/10012388215
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Efficient Estimation of Conditional Risk Measures in a Semiparametric GARCH Model
Yan, Yang - 2012
when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …
Persistent link: https://www.econbiz.de/10013105447