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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Estimation with Numerical Integration on Sparse Grids
Heiss, Florian; Winschel, Viktor - 2006
the proposed method over simulation techniques. …
Persistent link: https://www.econbiz.de/10010427448
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Estimation with Numerical Integration on Sparse Grids
Heiss, Florian; Winschel, Viktor - Volkswirtschaftliche Fakultät, … - 2006
the proposed method over simulation techniques. …
Persistent link: https://www.econbiz.de/10005187347
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Modeling Employment Dynamics with State Dependence and Unobserved Heterogeneity
Prowse, Victoria L. - 2011
We extend existing work on the dynamics of labor force participation by distinguishing between full-time and part-time employment and by allowing unobserved heterogeneity in the effects of previous employment outcomes, children and education on labor supply behavior. In addition, unobserved...
Persistent link: https://www.econbiz.de/10014206478
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Small-Samples and EVT Estimators for Computing Risk Measures : Simulation and Empirical Evidences
Kudrov, Alexander - 2011
Extreme Value Theory (EVT) deals with the analysis of rare events and it has been recently used in finance to predict the occurrence of such events, or, at least, to build more robust models for unexpected extreme events. Particularly, EVT has been used to model the loss severities in...
Persistent link: https://www.econbiz.de/10013133565
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Robust Value at Risk Prediction : Appendix
Mancini, Loriano - 2010
This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
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Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns
Adcock, Christopher J. - 2013
Persistent link: https://www.econbiz.de/10013090404
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Financing Constraints and a Firm's Decision and Ability to Innovate : Establishing Direct and Reverse Effects
Hajivassiliou, Vassilis Argyrou - 2014
The paper analyzes the existence and impact of financing constraints as a possibly serious obstacle to innovation by .rms. The econometric framework we employ in our study is the simultaneous bivariate probit with mutual endogeneity of direct indicators of financial constraints and innovation...
Persistent link: https://www.econbiz.de/10013069247
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Exponential time trends in a fractional integration model
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023
This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for...
Persistent link: https://www.econbiz.de/10014431268
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832