Narrow search
Showing 1 - 10 of 57,601
Cover Image
A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10003824296
Cover Image
Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel … data. We use long-term panel data from Germany and apply different regression models, based on household covariates and … on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10009671469
Cover Image
Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of...
Persistent link: https://www.econbiz.de/10002638723
Cover Image
Bayesian estimation of the false negative fraction in screening tests
Held, Leonhard (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of...
Persistent link: https://www.econbiz.de/10002719909
Cover Image
Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10003634717
Cover Image
Model Uncertainty in Operational Risk Modeling Due to Data Truncation : A Single Risk Case
Yu, Daoping - 2017
Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...
Persistent link: https://www.econbiz.de/10012943417
Cover Image
Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
Cover Image
Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates …. Estimates based on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of … vulnerability predictions is limited even when panel data are used. In part this low accuracy is due to low poverty incidence and …
Persistent link: https://www.econbiz.de/10010358150
Cover Image
Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
Cover Image
Generalized Risk Premia
Schneider, Paul - 2015
This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...
Persistent link: https://www.econbiz.de/10013033715