Showing 1 - 10 of 64
New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...
Persistent link: https://www.econbiz.de/10012925977
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the classical factor models. The model is estimated with the...
Persistent link: https://www.econbiz.de/10012433248
In this paper, we conduct simultaneous inference of the non-parametric part of a partially linear model when the non-parametric component is a multivariate unknown function. Based on semi-parametric estimates of the model, we construct a simultaneous confidence region of the multivariate...
Persistent link: https://www.econbiz.de/10012433252
Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...
Persistent link: https://www.econbiz.de/10012915185
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation...
Persistent link: https://www.econbiz.de/10012433150
The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of market liquidity, hu.berlin/crix. The crypto currency market is a new asset market and attracts a lot of investors recently. Surprisingly a market for contingent claims hat not been...
Persistent link: https://www.econbiz.de/10012433153
Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall and the expectile-quantile transformation level in an...
Persistent link: https://www.econbiz.de/10012433159
New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...
Persistent link: https://www.econbiz.de/10012433160
Data from social media has created opportunities to understand how and why people move through their urban environment and how this relates to criminal activity. To aid resource allocation decisions in the scope of predictive policing, the paper proposes an approach to predict weekly crime...
Persistent link: https://www.econbiz.de/10012433162
This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response...
Persistent link: https://www.econbiz.de/10012433165