Similar Search Results

On the appropriateness of inappropriate VaR models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard - 2006

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Persistent link: https://www.econbiz.de/10010274278

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …

Persistent link: https://www.econbiz.de/10010330969

Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010427064

Estimation with the Nested Logit Model : Specifications and Software Particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Due to its ability to allow and account for similarities between pairs of alternatives, the nested logit model is increasingly used in practical applications. However the fact that there are two different specifications of the nested logit model has not received adequate attention. The utility...

Persistent link: https://www.econbiz.de/10005854714

Estimation with the nested logit model: Specifications and software particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - 2006

Persistent link: https://www.econbiz.de/10010272735

Estimation with the nested logit model: Specifications and software particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - 2007

The paper discusses the nested logit model for choices between a set of mutually exclusive alternatives (e.g. brand choice, strategy decisions, modes of transportation, etc.). Due to the ability of the nested logit model to allow and account for similarities between pairs of alternatives, the...

Persistent link: https://www.econbiz.de/10010272737

Modeling the FIBOR/EURIBOR swap term structure: An empirical approach

Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005

structure. To evaluate ex-ante forecasting performance for particular short, medium and long term rates and for the level, slope …, we propose a data driven, adaptive model selection strategy to 'predict the best forecasting model' out of a set of 100 … alternative implementations of the PCA/VAR model. This approach is shown to outperform forecasting schemes relying on global …

Persistent link: https://www.econbiz.de/10010271835

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither …

Persistent link: https://www.econbiz.de/10010271837

Adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors …

Persistent link: https://www.econbiz.de/10010274224

Principal component analysis in an asymmetric norm

Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang Karl - 2014

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...

Persistent link: https://www.econbiz.de/10010331114