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Robust value at risk prediction
Mancini, Loriano; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
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Robust value at risk prediction
Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674273
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Robust value at risk prediction
Mancini, Loriano; Trojani, Fabio - 2007
Persistent link: https://www.econbiz.de/10003597922
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Robust value at risk prediction
Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003550862
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Density Forecasts in Panel Models : A Semiparametric Bayesian Perspective
Liu, Laura - 2017
simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …
Persistent link: https://www.econbiz.de/10012956589
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - 2018
extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …
Persistent link: https://www.econbiz.de/10011798456
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Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
Fisher, Mark - 2020
extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …
Persistent link: https://www.econbiz.de/10012852769
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Nonparametric Slope Estimators for Fixed-Effect Panel Data
Mundra, Kusum - 2008
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
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Time-varying effects of housing attributes and economic environment on housing price
Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; … - 2023
linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch …
Persistent link: https://www.econbiz.de/10014313698
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State dependence in the finance-growth nexus : a functional coefficient approach
Herwartz, Helmut; Walle, Yabibal - 2013
Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...
Persistent link: https://www.econbiz.de/10009752169