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Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design

Oberhofer, Walter; Haupt, Harry - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005

For both deterministic or stochastic regressors, as well as parametric nonlinear or linear regression functions, we prove the weak consistency of the coefficient estimators for the Type I censored quantile regression model under different censoring mechanisms with censoring points depending on...

Persistent link: https://www.econbiz.de/10005607530

Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels.

Gundlach, Erich - Kiel Institute for the World Economy - 1993

Persistent link: https://www.econbiz.de/10008575438

Human capital and economic development : a macroeconomic assessment.

Gundlach, Erich - Kiel Institute for the World Economy - 1997

Persistent link: https://www.econbiz.de/10008575588

Statistical Inference and Lorenz Curves: An empirical example using Finnish Income Data

Aura, Saku - Valtion taloudellinen tutkimuskeskus (VATT), Government … - 1996

The main theme of this paper is to study statistical inference concerning empirical Lorenz curves and its generalisations. These curves are useful devices for examining welfare and inequality. Asymptotical sampling properties of the Lorenz curve are discussed. An improvement to a standard...

Persistent link: https://www.econbiz.de/10005545947

Inference on Income Inequality and Tax Progressivity Indices: U-Statistics and Bootstrap Methods

Andres, Raquel; Calonge, Samuel - Society for the Study of Economic Inequality - ECINEQ - 2005

application of non-degenerate U-statistics theory is described, particularly through the derivation of the Suits …

Persistent link: https://www.econbiz.de/10005413427

Confidence Levels for the Comparison of Microarray Experiments

Shedden, Kerby - In: Statistical Applications in Genetics and Molecular Biology 3 (2007) 1, pp. 32-32

A common experimental strategy utilizing microarrays is to develop a signature of genes responding to some treatment in a model system, and then ask whether the same genes respond in an analogous way in a more natural and uncontrolled environment. In statistical terms, the question posed is...

Persistent link: https://www.econbiz.de/10005459161

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10011142002

Probability and Statistical Theory for Applied Researchers

Epps, T W - World Scientific Publishing Co. Pte. Ltd.

This book presents the theory of probability and mathematical statistics at a level suitable for researchers at the … frontiers of applied disciplines. Examples and exercises make essential concepts in measure theory and analysis accessible to … of problem solving and provide immediate feedback. Part I, The Theory of Probability, starts with elementary set theory …

Persistent link: https://www.econbiz.de/10011156370

Practical Aspects of Log File Analysis for E-Commerce

Chodak, Grzegorz; Suchacka, Grażyna - Volkswirtschaftliche Fakultät, … - 2013

The paper concerns Web server log file analysis to discover knowledge useful for online retailers. Data for one month of the online bookstore operation was analyzed with respect to the probability of making a purchase by e-customers. Key states and characteristics of user sessions were...

Persistent link: https://www.econbiz.de/10011259877