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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10015231990

Resolutions to flip-over credit risk and beyond

Yang, Bill Huajian - 2019

Abstract Given a risk outcome y over a rating system {R_i }_(i=1)^k for a portfolio, we show in this paper that the maximum likelihood estimates with monotonic constraints, when y is binary (the Bernoulli likelihood) or takes values in the interval 0≤y≤1 (the quasi-Bernoulli likelihood), are...

Persistent link: https://www.econbiz.de/10015263811

The most representative composite rank ordering of multi-attribute objects by the particle swarm optimization

Mishra, SK - 2009

Rank-ordering of individuals or objects on multiple criteria has many important practical applications. A reasonably representative composite rank ordering of multi-attribute objects/individuals or multi-dimensional points is often obtained by the Principal Component Analysis, although much...

Persistent link: https://www.econbiz.de/10015215242

A note on the ordinal canonical correlation analysis of two sets of ranking scores

Mishra, SK - 2009

In this paper we have proposed a method to conduct the ordinal canonical correlation analysis (OCCA) that yields ordinal canonical variates and the coefficient of correlation between them, which is analogous to (and a generalization of) the rank correlation coefficient of Spearman. The ordinal...

Persistent link: https://www.econbiz.de/10015215290

Comment: The Identification Power of Equilibrium in Simple Games

Aguirregabiria, Victor - 2008

This paper studies the identification of structural parameters in dynamic games when we replace the assumption of … Markov Perfect Equilibrium (MPE) with weaker conditions such as rational behavior and rationalizability. The identification … of players' time discount factors is of especial interest. I present identification results for a simple two …

Persistent link: https://www.econbiz.de/10015217426

Impossibility Results for Nondifferentiable Functionals

Hirano, Keisuke; Porter, Jack - 2009

We examine challenges to estimation and inference when the objects of interest are nondifferentiable functionals of the underlying data distribution. This situation arises in a number of applications of bounds analysis and moment inequality models, and in recent work on estimating optimal...

Persistent link: https://www.econbiz.de/10015217429

A new distribution-based test of self-similarity

Bianchi, Sergio - 2004

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

Persistent link: https://www.econbiz.de/10015217805

Data Science: A Primer for Economists

Gomez-Ruano, Gerardo - 2020

The last years have seen an explosion in the demand for data science skills. In this paper, I introduce the reader to the term, point out the technological jumps that allowed the rise of its methods, and give an overview of the most common ones. I close by pointing out the strengths and...

Persistent link: https://www.econbiz.de/10015218399

Estimating Semiparametric Panel Data Models by Marginal Integration

Qian, Junhui; Wang, Le - 2009

We propose a new methodology for estimating semiparametric panel data models, with a primary focus on the nonparametric component. We eliminate individual effects using first differencing transformation and estimate the unknown function by marginal integration. We extend our methodology to treat...

Persistent link: https://www.econbiz.de/10015219200

Estimation of a latent class discrete choice panel data model via Maximum Likelihood and EM algorithms in Stata

Pacifico, Daniele - 2009

This pdf contains a do file that shows how to estimate a latent class discrete choice panel data model in Stata via Maximum Likelihood and an EM algorithm.

Persistent link: https://www.econbiz.de/10015219770