Search Results - subject:"parametric estimation"

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Rombouts, J.V.K.; Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2009

Paper: Portfolio-analyse, parametrische modellen Free keywords Multivariate GARCH, semi-parametric estimation, Value …: multivariate GARCH, semi-parametric estimation, Value-at-Risk, asset allocation JEL Classification: C14, C22, C53, G11. 2 1 … distribution to use for which specific VaR level. The fact that semi-parametric estimation of the VaR domi- nates parametric …

Persistent link: https://www.econbiz.de/10005288366

The role of consumption and the financing of health investment under epidemic shocks

Azomahou, Theophile; Diene, Bity; Soete, Luc - United Nations University-Maastricht Economic Research … - 2009

We study the behavior of consumption and health investment resulting from shocks undermining health capital accumulation. We examine the effects on subsequent life cycle of long-lived shocks undermining health with either an acceleration of health capital deterioration, or a decrease in health...

Persistent link: https://www.econbiz.de/10010712066

Correction du biais d'estimation sur les mesures de risque en finance

Héam, Jean-Cyprien - HAL - 2009

Dans le cadre des procédures de backtesting de la Value-at-Risk (VaR), nous proposons une étude de la qualité de la correction de l'effet d'estimation du test de Kupiec (Journal of Derivatives, 1995) fondée sur les travaux de Escansiano et Olmo (2008). Cette étude conduit à apporter une...

Persistent link: https://www.econbiz.de/10008791173

A new partially reduced-bias mean-of-order p class of extreme value index estimators

Gomes, M. Ivette; Brilhante, M. Fátima; Caeiro, Frederico - In: Computational Statistics & Data Analysis 82 (2015) C, pp. 223-237

A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a...

Persistent link: https://www.econbiz.de/10011117686

Semi-nonparametric spline modifications to the Cornwell-Schmidt-Sickles estimator : an analysis of US banking productivity

Almanidis, Pavlos; Karagiannēs, Giannēs; Sickles, Robin C. - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 169-191

Persistent link: https://www.econbiz.de/10011285917

Marginal abatement costs of carbon dioxide emissions in China : a parametric analysis

Du, Limin; Hanley, Aoife; Wei, Chu - In: Environmental & resource economics : the official … 61 (2015) 2, pp. 165-189

Persistent link: https://www.econbiz.de/10011441922

Composite Bernstein copulas

Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 445-475

Persistent link: https://www.econbiz.de/10011312277

Customer heterrogeneity in revenue management for failway services

Hetrakul, Pratt; Cirillo, Cinzia - In: Journal of revenue and pricing management 14 (2015) 1, pp. 28-49

Persistent link: https://www.econbiz.de/10010532955

Relações não lineares na curva de Phillips : uma abordagem semi-paramétrica

Tristão, Tiago Santana; Torrent, Hudson da Silva - In: Economia aplicada : EA 19 (2015) 4, pp. 679-703

Persistent link: https://www.econbiz.de/10011592646

Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?

Mertens, Elmar - 2008

No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, "CEV") propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, this could help alleviate specification problems of SVARs in...

Persistent link: https://www.econbiz.de/10011430075