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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman; Urbach, Richard - 2013
importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …
Persistent link: https://www.econbiz.de/10010334249
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Understanding the Nature of Cooperation Variability
Fosgaard, Toke; Hansen, Lars Gårn; Wengström, Erik - 2013
We investigate framing effects in a large-scale public good experiment. We measure indicators of explanations previously proposed in the literature, which when combined with the large sample, enable us to estimate a structural model of framing effects. The model captures potential causal effects...
Persistent link: https://www.econbiz.de/10013208635
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Testing for threshold effect in ARFIMA models:Application to US unemployment rate data
Lahiani, A.; Scaillet, O. - Finrisk - 2008
Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...
Persistent link: https://www.econbiz.de/10005868836
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Fourth Order Pseudo Maximum Likelihood Methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - Finrisk - 2008
The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...
Persistent link: https://www.econbiz.de/10005868843
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Partial time-varying regression modelling under general heterogeneity
Giraitis, Liudas; Kapetanios, George; Li, Yufei; … - 2024
This paper explores a semiparametric version of a time-varying regression, where a subset of the regressors have a fixed coefficient and the rest a time-varying one. We provide an estimation method and establish associated theoretical properties of the estimates and standard errors in extended...
Persistent link: https://www.econbiz.de/10015193988
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
, based on nonlinear least squares. A simulation study reveals that this aggregation-corrected estimator performs very well …
Persistent link: https://www.econbiz.de/10005857736
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
computationally cheap and extremely accurate — most notably in the tail, which is crucial for risk calculations. A simulation study …
Persistent link: https://www.econbiz.de/10005857739
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Nonparametric instrumental variable estimation of quantile structural effects
Chernozhukov, V.; Gagliardini, P.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
simulation results in two numerical examples. We also discuss a data driven selection procedure of the regularization parameter …
Persistent link: https://www.econbiz.de/10005857742
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Robust Mean-Variance Portfolio Selection
Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...
Persistent link: https://www.econbiz.de/10005858020
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Consistency of Asymmetric Kernel DensityEstimators and Smoothed Histograms withApplication to Income Data
Bouezmarni, T.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We consider asymmetric kernel density estimators and smoothed histogramswhen the unknown probability density function f is defined on [0, +∞). Uniform weak consistency on each compact set in [0, +∞) is proved for these estimators when "f" is continuous on its support. Weak convergence in L...
Persistent link: https://www.econbiz.de/10005858092