Search Results - subject:"Index Model"

Simultaneous confidence band for single-index random effects models with longitudinal data

Yang, Suigen; Xue, Liugen; Li, Gaorong - In: Statistics & Probability Letters 85 (2014) C, pp. 6-14

We get the estimator of the link function, establish the asymptotic properties, and construct the simultaneous confidence band for single-index random effects models. Simulation studies and real data set are presented to evaluate the performance of the proposed method.

Persistent link: https://www.econbiz.de/10010743576

M-estimators for single-index model using B-spline

Zou, Qingming; Zhu, Zhongyi - In: Metrika 77 (2014) 2, pp. 225-246

The single-index model is an important tool in multivariate nonparametric regression. This paper deals with M …-estimators for the single-index model. Unlike the existing M-estimator for the single-index model, the unknown link function is …

Persistent link: https://www.econbiz.de/10010995153

An export portfolio assessment of regional free trade agreements : a Mercosur and Pacific Alliance perspective

Gouvea Neto, Raúl de; Kapelianis, Dimitri; Montoya, … - In: Modern economy 5 (2014) 5, pp. 614-624

Persistent link: https://www.econbiz.de/10010417598

An integrated-process model of service quality, istitutional brand and behavioural intentions : the case of a University

Sultan, Parves; Wong, Ho Yin - In: Managing service quality : MSQ ; an international journal 24 (2014) 5, pp. 487-521

Persistent link: https://www.econbiz.de/10010422299

On the appropriateness of inappropriate VaR models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard - 2006

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Persistent link: https://www.econbiz.de/10010274278

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - 2006

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

Persistent link: https://www.econbiz.de/10010298338

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10010958549

Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

. JEL Classification: C13, C32, G11, G14, G18 Keywords: Multivariate Stable Distribution, Index Model, Portfolio …

Persistent link: https://www.econbiz.de/10005600451

On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang; Hlavka, Zdenek; Stahl, Gerhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

the DAX data using XploRe. Keywords: Value-at-Risk, market index model, principal components, random effects model … following, we explore the, by Risk- Metrics (1996) publicized, index model, the mapping on synthetic indices (principal … components), and we suggest a new method based on a simplified correlation matrix. 2.1. Regression approach: index model. Among …

Persistent link: https://www.econbiz.de/10005784862

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management

Caporin, Massimiliano; Lisi, Francesco - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 236-249

Conditional Single Index model where the time-varying alpha and beta parameters depend only on the past history of the underlying …

Persistent link: https://www.econbiz.de/10010730238