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Prediction and nonparametric estimation for time series with heavy tails

Hall, Peter; Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2002

Motivated by prediction problems for time series with heavy-tailed marginal distributions, we consider methods based on `local least absolute deviations' for estimating a regression median from dependent data. Unlike more conventional `local median' methods, which are in effect based on locally...

Persistent link: https://www.econbiz.de/10011126408

Comparing downside risk measures for heavy tailed distribution

Danielsson, Jon; Jorgensen, Bjørn N.; Sarma, Mandira; … - London School of Economics (LSE) - 2005

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy...

Persistent link: https://www.econbiz.de/10011071274

Subadditivity re–examined: the case for value-at-risk

Danielsson, Jon; Jorgensen, Bjørn N.; Mandira, Sarma; … - London School of Economics (LSE) - 2005

This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical applications VaR is subadditive. Hence, there is no reason to choose a more complicated risk measure than VaR, solely for reasons of coherence.

Persistent link: https://www.econbiz.de/10011071486

Improved Lagrange multiplier tests in spatial autoregressions

Robinson, Peter M.; Rossi, Francesca - London School of Economics (LSE) - 2014

Carlo simulations, these tests, and bootstrap tests, generally significantly outperform χ2-based tests. …

Persistent link: https://www.econbiz.de/10011125890

Nonparametric estimation and symmetry tests for conditional density functions

Yao, Qiwei; Hyndman, Rob J. - London School of Economics (LSE) - 2002

selecting the two bandwidths for either estimator. We also develop a new bootstrap test for the symmetry of conditional density …

Persistent link: https://www.econbiz.de/10011125947

Common structure in panels of short time series

Yao, Qiwei; Tong, Howell; Finkenstädt, Bärbel; … - London School of Economics (LSE) - 2000

time–series of which we are interested in obtaining a biologically meaningful grouping. Here, we propose a bootstrap … that for finite sample size, bootstrap provides a better approximation than classical asymptotic theory.We then apply the …

Persistent link: https://www.econbiz.de/10011125950

Specification for lattice processes

Hidalgo, Javier; Seo, Myung Hwan - London School of Economics (LSE) - 2013

asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analogue of the transformation and …

Persistent link: https://www.econbiz.de/10011126051

Robustness of bootstrap in instrumental variable regression

Camponovo, Lorenzo; Otsu, Taisuke - London School of Economics (LSE) - 2014

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We …) estimator introduced by Cížek (2008, 2009),and compare the pairs and implied probability bootstrap approximations for these … statistics byapplying the finite sample breakdown point theory. In particular, we study limiting behaviors ofthe bootstrap …

Persistent link: https://www.econbiz.de/10011126113

Date tilting for time series

Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2003

We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the...

Persistent link: https://www.econbiz.de/10011126303

Improved tests for spatial correlation

Robinson, Peter M.; Rossi, Francesca - London School of Economics (LSE) - 2013

be attained. We thus develop tests with more accurate size properties, by means of Edgeworth expansions and the bootstrap …

Persistent link: https://www.econbiz.de/10011126356