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We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive capital allocation, autocorrelation of violations...
Persistent link: https://www.econbiz.de/10013146585
In panel data the interest often is in slope estimation while taking account of the unobserved cross sectional … variable. Simulation results suggest that the new nonparametric estimators perform better than the parametric counterparts …
Persistent link: https://www.econbiz.de/10014064831
when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …
Persistent link: https://www.econbiz.de/10013105447
when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …
Persistent link: https://www.econbiz.de/10009620388
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …
Persistent link: https://www.econbiz.de/10013156202
Persistent link: https://www.econbiz.de/10001686434
This article uses a nonparametric varying coefficient panel data model to study the convergence of real GDP per capita … among 120 world economies for the sample period of 1980-2010. The estimates show that the indirect contribution of initial …
Persistent link: https://www.econbiz.de/10012999621
illustrate their use in a simple regression model with a simulation study that demonstrates that the use of the flexible …
Persistent link: https://www.econbiz.de/10013132439
conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …
Persistent link: https://www.econbiz.de/10013132158
This paper considers kernel-based nonparametric estimation of panel models using local linear least squares, when both … nonparametric fixed-effects models, it is shown that conventional within transformation or first difference render panel … 1/(NT(h^3)). The optimal bandwidth parameter is also obtained to be of the order (NT)^{-1/7}. The new estimation is …
Persistent link: https://www.econbiz.de/10014218920