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Indirect inference with(out) constraints

Frazier, David T.; Renault, Eric - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 113-159

Indirect Inference (I‐I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters β. The estimators of the instrumental parameters will encapsulate the...

Persistent link: https://www.econbiz.de/10012202226

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

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012295878

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

Persistent link: https://www.econbiz.de/10012219567

A robust permutation test for subvector inference in linear regressions

D'Haultfœuille, Xavier; Tuvaandorj, Purevdorj - In: Quantitative economics : QE ; journal of the … 15 (2024) 1, pp. 27-87

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...

Persistent link: https://www.econbiz.de/10014496927

Assessing vertical equity in defined benefit pension plans : an application to Switzerland

Kirn, Tanja; Dekkers, Gijs J. M. - In: Risks : open access journal 13 (2025) 5, pp. 1-32

This paper establishes a theoretical link between actuarial neutrality and the Oaxaca-Blinder decomposition to empirically assess vertical equity in public defined-benefit schemes. We demonstrate how this approach can be generalized to non-linear functions, point systems, and notional accounts....

Persistent link: https://www.econbiz.de/10015409016

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local … Gaussian (LG) bootstrap, establish its first‐order asymptotic validity, and use Edgeworth expansions to show that the LG … bootstrap inference achieves second‐order asymptotic refinements. Moreover, we provide new Laplace transform‐based estimators of …

Persistent link: https://www.econbiz.de/10014362565

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

Persistent link: https://www.econbiz.de/10012887711

Improved inference on the rank of a matrix

Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824

under are highly nonstandard due to the inherent irregular natures of the problem, and then construct bootstrap critical …

Persistent link: https://www.econbiz.de/10012202917