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Estimating asset correlations fromstock prices or default rates –which method is superior?

Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a …

Persistent link: https://www.econbiz.de/10005866366

Estimation with the Nested Logit Model : Specifications and Software Particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

the performance of simulation studies with the nested logit model. In simulation studies with the nested logit model using … NNNL software (e. g. PROC MDC in SAS(c) ), it must be pointed out that the simulation of the utility function's error terms …

Persistent link: https://www.econbiz.de/10005854714

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

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...

Persistent link: https://www.econbiz.de/10012018487

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel...

Persistent link: https://www.econbiz.de/10012160012

A new INAR(1) model for Z-valued time series using the relative binomial thinning operator

Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152

conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …

Persistent link: https://www.econbiz.de/10014514104

Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …

Persistent link: https://www.econbiz.de/10010309829

Location theory and multi-criteria decision making: An application of the MOORA method

Brauers, Willem K. - In: Contemporary Economics 12 (2018) 3, pp. 241-252

. The simulation used was limited in its applications. Clearly if this simulation has no practical consequences, it still …

Persistent link: https://www.econbiz.de/10014544513

Estimation with the nested logit model: Specifications and software particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - 2006

the performance of simulation studies with the nested logit model. In simulation studies with the nested logit model using … NNNL software (e. g. PROC MDC in SAS), it must be pointed out that the simulation of the utility function's error terms … logit model are shown on the basis of a simulation study. …

Persistent link: https://www.econbiz.de/10010272735

Estimation with the nested logit model: Specifications and software particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - 2007

The paper discusses the nested logit model for choices between a set of mutually exclusive alternatives (e.g. brand choice, strategy decisions, modes of transportation, etc.). Due to the ability of the nested logit model to allow and account for similarities between pairs of alternatives, the...

Persistent link: https://www.econbiz.de/10010272737