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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10010269313
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; 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/10010270704
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10010318771
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …
Persistent link: https://www.econbiz.de/10010267037
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Individual wealth accumulation: Why does dining together as a family matter?
Chatterjee, Swarn; Palmer, Lance; Goetz, Joseph - In: Applied Economics Research Bulletin 8, 2, pp. 1-22
This study uses data from the Panel Study of Income Dynamics to examine whether self-regulation, proxied by regularly dining together with family, is associated with better financial preparedness and greater wealth accumulation across time among households. Findings reveal that individuals who...
Persistent link: https://www.econbiz.de/10011440349
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Optimal choice and beliefs with ex ante savoring and ex post disappointment
Gollier, Christian; Muermann, Alexander - 2006
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk...
Persistent link: https://www.econbiz.de/10010298342
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Saving and portfolio allocation before and after job loss
Basten, Christoph; Fagereng, Andreas; Telle, Kjetil - 2012
Using administrative panel data from Norway, we investigate the development of household labor income, financial wealth and asset holdings over a nine-year period surrounding job loss. Consistent with a simple theoretical model, the data show precautionary saving and a shift toward safer assets...
Persistent link: https://www.econbiz.de/10010319696
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Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability
De Santis, Roberto A.; Favero, Carlo A.; Roffia, Barbara - 2008
The long-run relationship between money and prices in the euro area embedded in traditional money demand models with income and interest rates broke down after 2001. We develop a money demand model where investors hold a diversified portfolio with money, domestic and foreign stocks and long-term...
Persistent link: https://www.econbiz.de/10011604972