Search Results - subject:"random variables"

An Unbiased Estimator for the Parameter of a Homographic Distribution Used in Economy

Stefanescu, Poliana; Stefanescu, Stefan - In: Journal for Economic Forecasting 3 (2006) 2, pp. 47-57

In a previous study, (Stefanescu, P., Stefanescu, St., 2006) we suggested two possible estimators for the unknown value of the parameter q which characterize a homographic type HG(q) distribution. In the current paper we shall prove that the proposed estimators of q based on the median of the...

Persistent link: https://www.econbiz.de/10005612246

Asymptotic Properties for a Class of Partially Identified Models

Beresteanu, Arie; Molinari, Francesca - Duke University, Department of Economics - 2006

random variables, we develop a methodology to test assumptions about the true identification region and to calculate the … those applied for vector valued random variables, we de- velop a methodology to test assumptions about the true … parameters or 1 We are grateful to Larry Blume for introducing us to the theory of set valued random variables and for many …

Persistent link: https://www.econbiz.de/10005787364

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Recent Dynamics of Crude Oil Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Economic Integration and Financial Stability; A European Perspective

Nicoló, Gianni De; Tieman, Alexander F. - International Monetary Fund (IMF) - 2006

This paper assesses changes in synchronization of real activity and financial market integration in Western Europe and evaluates their implications for financial stability. We find increased synchronization of real activity since the early 1980s and increased equity markets integration since the...

Persistent link: https://www.econbiz.de/10005263987

Characterization of Stochastic Dominance for Discrete Random Variable

Courtault, Jean-Michel; Crettez, Bertrand; Hayek, Naïla - HAL - 2006

Available characterizations of the various notions of stochastic dominance concern continuous random variables. Yet …, discrete random variables are often used either in pedagogical presentations of stochastic dominance or in experimental tests … random variables. …

Persistent link: https://www.econbiz.de/10008792220

The Validity of Instruments Revisited

Berkowitz, Daniel; Caner, Mehmet; Fang, Ying - 2013

Valid instrumental variables must be relevant and exogenous. However, in practice it is difficult to find instruments that are exogenous in that they satisfy the knife-edged orthogonality condition and at the same time are strongly correlated with the endogenous regressors. In this paper we show...

Persistent link: https://www.econbiz.de/10010892099

The exact bootstrap method shown on the example of the mean and variance estimation

Kisielinska, Joanna - In: Computational Statistics 28 (2013) 3, pp. 1061-1077

The bootstrap method is based on resampling of the original randomsample drawn from a population with an unknown distribution. In the article it was shown that because of the progress in computer technology resampling is actually unnecessary if the sample size is not too large. It is possible to...

Persistent link: https://www.econbiz.de/10010847838