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Maximum likelihood estimation of the symmetric and asymmetric exponential power distribution

Bottazzi, Giulio; Secchi, Angelo - 2008

We introduce a new 5-parameter family of distributions, the Asymmetric Exponential Power (AEP), able to cope with asymmetries and leptokurtosis and at the same time allowing for a continuous variation from non-normality to normality. We prove that the Maximum Likelihood (ML) estimates of the AEP...

Persistent link: https://www.econbiz.de/10010328554

Models for heavy-tailed asset returns

Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010

portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR - rest …

Persistent link: https://www.econbiz.de/10010281502

Sensitivity of propensity score methods to the specifications

Zhao, Zhong - 2005

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of … covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to … in Smith and Todd (2005) that, if the unconfoundedness assumption fails, the matching results can be sensitive. However …

Persistent link: https://www.econbiz.de/10010267689

The Hidden Risks of Optimizing Bond Portfolios under VaR

Winker, Peter; Maringer, Dietmar - 2004

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR concept suffers from two problems: how to estimate VaR and...

Persistent link: https://www.econbiz.de/10010296148

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Elkamhia, Redouane; Stefanova, Denitsa - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...

Persistent link: https://www.econbiz.de/10010326016

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter; Švarc, Petr - 2008

In this article we extend the agent-based model of firms' formation and growth proposed in [4]. In [4] the firms' creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in the...

Persistent link: https://www.econbiz.de/10010322258

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10010295926

On J.M. Keynes' The principal averages and the laws of error which lead to them: refinement and generalisation

Klein, Ingo; Grottke, Michael - 2008

Keynes (1911) derived general forms of probability density functions for which the "most probable value" is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

Persistent link: https://www.econbiz.de/10010299745

Objective Bayesian meta-analysis based on generalized multivariate random effects model

Bodnar, Olha; Bodnar, Taras - 2021

Objective Bayesian inference procedures are derived for the parameters of the multivariate random effects model generalized to elliptically contoured distributions. The posterior for the overall mean vector and the between-study covariance matrix is deduced by assigning two noninformative priors...

Persistent link: https://www.econbiz.de/10012654475

Estimation methods for non-homogeneous regression models: Minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg J.; … - 2017

Non-homogeneous regression models are widely used to statistically post-process numerical ensemble weather prediction models. Such regression models are capable of forecasting full probability distributions and correct for ensemble errors in the mean and variance. To estimate the corresponding...

Persistent link: https://www.econbiz.de/10011930735