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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10005652774
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From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples
Ya'acov Ritov; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10005652736
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Strategic Loan Defaults and Coordination: An Experimental Analysis
Trautmann, Stefan; Vlahu, Razvan - de Nederlandsche Bank - 2011
This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...
Persistent link: https://www.econbiz.de/10009274333
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Oracally Efficient Two-Step Estimation of Generalized Additive Model
Liu, Rong; Yang, Lijian; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....
Persistent link: https://www.econbiz.de/10008861891
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Systematic risk under extremely adverse market condition
Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2011
portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression … compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta …
Persistent link: https://www.econbiz.de/10008862363
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Can crop yield risk be globally diversified?
Liu, Xiaoliang; Xu, Wei; Odening, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom. Against this background, we analyse the stochasticity of crop yields in...
Persistent link: https://www.econbiz.de/10008868032
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...
Persistent link: https://www.econbiz.de/10008629514
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Forecasting Corporate Distress in the Asian and Pacific Region
Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of …
Persistent link: https://www.econbiz.de/10009021755
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Pointwise adaptive estimation for quantile regression
Reiß, Markus; Rozenholc, Yves; Cuenod, Charles A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is … completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each …. Simulations for different univariate median regression models show good finite sample properties, also in comparison to …
Persistent link: https://www.econbiz.de/10009024914
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
A Lévy process is observed at time points of distance Δ until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and Δ. Thereby, we encompass the usual low- and high-frequency assumptions and...
Persistent link: https://www.econbiz.de/10009024915