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Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

Persistent link: https://www.econbiz.de/10013183970

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...

Persistent link: https://www.econbiz.de/10012202234

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

For typical sample sizes occurring in economic and financial applications, the squared bias of estimators for the memory parameter is small relative to the variance. Smoothing is therefore a suitable way to improve the performance in terms of the mean squared error. However, in an analysis of...

Persistent link: https://www.econbiz.de/10012312096

Outliers in semi-parametric estimation of treatment effects

Canavire-Bacarreza, Gustavo; Castro, Luis; Ontiveros, … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-32

because they completely change the distribution of the metrics used to define counterfactuals; good leverage points, on the …

Persistent link: https://www.econbiz.de/10012547410

Are you a good borrower? : mining interpretable pattern structures in credit scoring

Kuznecov, Sergej O.; Masyutin, Alexey; Ageev, Aleksandr - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 67-85

Purpose - The purpose of this study is to show that closure-based classification and regression models provide both high accuracy and interpretability. Design/methodology/approach - Pattern structures allow one to approach the knowledge extraction problem in case of partially ordered...

Persistent link: https://www.econbiz.de/10012514905

Efficiency of university education : a partial frontier analysis

Viana, Rafael Antonio; Arranz, José M.; … - In: Latin American economic review : LAER ; official … 29 (2020), pp. 1-16

This article investigates the efficiency of the university education using two linked databases (Saber Pro and Saber 11) from the Colombian Institute for Evaluation of Education (ICFES) corresponding to 2014. We use a non-parametric frontier approach that combines the "order m" technique with...

Persistent link: https://www.econbiz.de/10012500298

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 29-61

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Persistent link: https://www.econbiz.de/10012807729

Nonparametric estimation of English auctions with selective entry : an application to online judicial auctions

Liu, Nianqing; Xu, Kexin - In: International studies of economics 19 (2024) 2, pp. 247-267

the Alibaba online judicial auctions of used cars to recover the bounds of conditional value distribution and the entry … cost. The bounds estimates of both conditional value distribution and entry cost are quite tight (resp., relatively wide …) for middle-valued (resp., low-valued or high-valued) signal, and the cumulative distribution functions of conditional …

Persistent link: https://www.econbiz.de/10015063911

Methodology for assessing the risk associated with information and knowledge loss management

Yarovenko, Hanna; Bilan, Yuriy; Lyeonov, Serhiy; … - In: Journal of business economics and management 22 (2021) 2, pp. 369-387

’s purpose is to develop a rapid methodology to assess the risk of information and knowledge loss management. It provides the … implementation of eight steps and combines a risk mapping method modified by assessments based on risk factors and incidents as … incidents. As a result, a risk map of 9 groups was built for a Ukrainian enterprise. Only two groups with the minimum number of …

Persistent link: https://www.econbiz.de/10012506098

A nonparametric analysis of competitiveness efficiency : the relevance of firm size and the configuration of competitive pillars

Lafuente, Esteban; Leiva, Juan Carlos; Moreno-Gómez, Jorge - In: Business research quarterly : BRQ 23 (2020) 3, pp. 203-216

This study employs a data envelopment analysis (DEA) model with a single constant input to analyze the competitiveness performance of a unique sample of 103 knowledge-intensive business service (KIBS) firms from Hungary, Spain, Colombia, and Costa Rica for the year 2017. Also, we assess how the...

Persistent link: https://www.econbiz.de/10012297864