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~institution:"Department of Economics, Boston University"
~institution:"Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam."
~person:"Post, G.T."
~person:"Verbeek, M.J.C.M."
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hypothesis testing
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European banks
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copulas
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data envelopment analysis (DEA)
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dependence
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errors-in-variables
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extreme value theory
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extreme values
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finite sample performance
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noise-to-signal estimation
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nonparametric efficiency estimation
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nonparametric production analysis
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stress testing
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Post, G.T.
Verbeek, M.J.C.M.
Perron, Pierre
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Dul, J.
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Hak, A.
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Cherchye, L.
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Goertz, G.
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Grassi, Simona
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Kim, Dukpa
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Koedijk, C.G.
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Kole, H.J.W.G.
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Kuosmanen, T.
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MA, Ching-to Albert
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Oka, Tatsushi
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Department of Economics, Boston University
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
Tilburg University, Center for Economic Research
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Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Stress
Testing
with Student's t Dependence
Kole, H.J.W.G.
;
Koedijk, C.G.
;
Verbeek, M.J.C.M.
-
Erasmus Research Institute of Management (ERIM), ERIM …
-
2003
conducting stress tests. To properly include stress
testing
in a risk management system, it is important to have accurate …
Persistent link: https://www.econbiz.de/10005288424
Saved in:
2
Nonparametric Efficiency Estimation in Stochastic Environments (II)
Cherchye, L.
;
Post, G.T.
-
Erasmus Research Institute of Management (ERIM), ERIM …
-
2001
We consider the issues of noise-to-signal estimation, finite sample performance and hypothesis
testing
for the …
Persistent link: https://www.econbiz.de/10004969828
Saved in:
3
Testing
for Productive Efficiency with Errors-in-Variables: with an application to the Dutch electricity sesctor
Kuosmanen, T.
;
Post, G.T.
-
Erasmus Research Institute of Management (ERIM), ERIM …
-
2001
We develop a nonparametric test of productive efficiency that accounts for the possibility of errors-in-variables. The test allows for statistical inference based on the extreme value distribution of the L?? norm. In contrast to the test proposed by Varian, H (1985): 'Nonparametric Analysis of...
Persistent link: https://www.econbiz.de/10005288328
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