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Iterated smoothed bootstrap confidence intervals for population quantiles

Ho, YHS; Lee, SMS - 2005

-sided coverage errors of orders O(n−1/2) and o(n−2/3), respectively, for intervals based on the sample quantile of a random sample of …

Persistent link: https://www.econbiz.de/10009471434

Applications of quantile regression to estimation and detection of some tail characteristics

Hsu, Ya-Hui - 2010

quantile regression. Those tests focus specifically on one tail of the outcome distributions. The ES test applies to two …, Value at Risk (VaR), defined as a quantile of the loss distribution of a portfolio within a given time period and a … Conditional Autoregressive Value at Risk (CAViaR) models proposed by Engle and Manganelli (2004) based on quantile regression …

Persistent link: https://www.econbiz.de/10009477869

TailCoR

Ricci, Lorenzo; Veredas, David - 2012

We introduce TailCoR, a new measure for tail correlation that is a function of linear and non–linear correlations, the latter characterized by the tail index. TailCoR can be exploited in a number of financial applications, such as portfolio selection where the investor faces risks of a linear...

Persistent link: https://www.econbiz.de/10012530390

Pollution perception. An inquiry into intergenerational equity

Schuhmacher, Ingmar; Zou, Benteng - 2005

In this article we extend the recent literature on overlapping generations with a pollution sector by allowing generations to have a certain pollution perception with regards to the stock of pollution. Pollution perception, assumed to be part of the generations' preferences, can be either a...

Persistent link: https://www.econbiz.de/10009452479

The Economics of Sustainability: A Review of Journal Articles

Pezzey, John C.V.; Toman, Michael A. - 2002

Concern about sustainability helped to launch a new agenda for development and environmental economics and challenged many of the fundamental goals and assumptions of the conventional, neoclassical economics of growth and development. We review 25 years' of refereed journal articles on the...

Persistent link: https://www.econbiz.de/10009445467

Discounting the Distant Future: How Much Do Uncertain Rates Increase Valuations?

Newell, Richard G.; Pizer, William A. - 2001

Costs and benefits in the distant future-such as those associated with global warming, long-lived infrastructure, hazardous and radioactive waste, and biodiversity-often have little value today when measured with conventional discount rates. We demonstrate that when the future path of this...

Persistent link: https://www.econbiz.de/10009446677

Zur Problematik generationengerechten Verhaltens aus Sicht der Neuen Politischen ?konomik am Beispiel der gesetzlichen Krankenversicherung

Dominick, Florian - 2008

In den letzten Jahren hat sich in Deutschland die gesellschaftspolitische Diskussion ?ber die Finanzierbarkeit der Sozialversicherungssysteme zunehmend versch?rft. Der Autor stellte sich in Hinblick auf die Finanzierungsprobleme f?r die gesetzliche Krankenversicherung (GKV) daher die...

Persistent link: https://www.econbiz.de/10009485591

Farm Level Risk Assessment Using Downside Risk Measures

Berg, Ernst; Starp, Michael - 2006

Recent and presumable future developments tend to increase the risk associated with farming activities. This causes an increasing importance of risk management. Farmers have a wide variety of possibilities to influence the risk exposure of their operations. Among them are the choice of the...

Persistent link: https://www.econbiz.de/10009483581

Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method

Wu, Weiwei - 2005

Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of financial log returns. Though financial log return data are usually both heteroscedastic and fatter-tailed, most of the existing...

Persistent link: https://www.econbiz.de/10009431181

Portfolio Diversification under Local and Moderate Deviations from Power Laws.

Walden, Johan; Ibragimov, Rustam - 2008

Economics

Persistent link: https://www.econbiz.de/10009431952