Similar Search Results

On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang; Hlavka, Zdenek; Stahl, Gerhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005784862

Adaptive Order Flow Forecasting with Multiplicative Error Models

Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010895342

Local Adaptive Multiplicative Error Models for High-Frequency Forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

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

Persistent link: https://www.econbiz.de/10010544325

A two state model for noise-induced resonance in bistable systems with delay

Fischer, Markus; Imkeller, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...

Persistent link: https://www.econbiz.de/10005677968

Estimation with the Nested Logit Model: Specifications and Software Particularities

Silberhorn, Nadja; Boztug, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Due to its ability to allow and account for similarities betweenpairs 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/10005677976

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

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

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

Persistent link: https://www.econbiz.de/10005489961

Principal Component Analysis in an Asymmetric Norm

Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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 process- ing, mechanical ingeneering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...

Persistent link: https://www.econbiz.de/10010728046

Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach

Blaskowitz, Oliver; Herwartz, Helmut; Santiago, Gonzalo … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005678035

Adaptive Forecasting of the EURIBOR Swap Term Structure

Blaskowitz, Oliver; Herwatz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

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

Persistent link: https://www.econbiz.de/10005207936

An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China

Niu, Linlin; Xu, Xiu; Chen, Ying - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China …

Persistent link: https://www.econbiz.de/10011265304