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Estimation and determinants of Chinese banks' total factor efficiency : a new vsion based on unbalanced development of Chinese banks and their overall risk

Shiyi, Chen; Härdle, Wolfgang; Wang, Li - 2014

-product for the estimation of banks' total factor efficiency (TFE) as well as TFE of each production factor. A unique data sample … of 171 Chinese commercial banks, which is the largest data sample concerning with Chinese banking efficiency issues until … efficiency, and finds that a model with risk-weighted assets as undesirable outputs can better capture the impact of shadow …

Persistent link: https://www.econbiz.de/10010436522

Non-gaussian component analysis : new ideas, new proofs, new applications

Panov, Vladimir - 2010

In this article, we present new ideas concerning Non-Gaussian Component Analysis (NGCA). We use the structural assumption that a high-dimensional random vector X can be represented as a sum of two components - a lowdimensional signal S and a noise component N. We show that this assumption...

Persistent link: https://www.econbiz.de/10003973622

Estimation of the signal subspace without estimation of the inverse covariance matrix

Panov, Vladimir - 2010

Let a high-dimensional random vector ⃗X can be represented as a sum of two components - a signal ⃗S , which belongs to some low-dimensional subspace S, and a noise component ⃗N . This paper presents a new approach for estimating the subspace S based on the ideas of the Non-Gaussian...

Persistent link: https://www.econbiz.de/10008663366

Generalized single-index models : the EFM approach

Cui, Xia; Härdle, Wolfgang; Zhu, Lixing - 2009

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

Persistent link: https://www.econbiz.de/10003893146

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10003953027

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

Persistent link: https://www.econbiz.de/10003953034

Fitting high-dimensional copulae to data

Okhrin, Ostap - 2010

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests...

Persistent link: https://www.econbiz.de/10003953039

Parametric estimation : finite sample theory

Spokojnyj, Vladimir G. - 2011

including the efficiency bounds can be easily derived as corollaries of the obtained non-asymptotic statements. The general …

Persistent link: https://www.econbiz.de/10009379449

Large vector auto regressions

Song, Song; Bickel, Peter J. - 2011

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Persistent link: https://www.econbiz.de/10009266948

Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called...

Persistent link: https://www.econbiz.de/10010238359