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Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10010343777
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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10009575075
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model …
Persistent link: https://www.econbiz.de/10010480543
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Nonparametric analysis of random utility models : testing ; conference paper
Kitamura, Yuichi; Stoye, Jörg - 2013 - This version: February 8, 2013
This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility Models (RUM) to deal with unobserved heterogeneity nonparametrically. Theoretical implications of the RUM have been studied in the literature, and in particular this paper utilizes...
Persistent link: https://www.econbiz.de/10010342819
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[Rezension von: Ziliak, Stephen Thomas; McCloskey, Deirdre N., The cult of statistical significance, how the standard error costs us jobs, justice, and lives]
Hymans, Saul H. - In: Journal of economic literature 47 (2009) 2, pp. 499-503
Persistent link: https://www.econbiz.de/10008702460
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Multivariate statistical analysis
Domański, Czesław (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008732055
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Non-unitary models of household behavior : a survey of the literature
Chiappori, Pierre-André; Donni, Olivier - 2009
This article considers non-unitary models of household behavior. These models suppose explicitly that households consist of a number of different members with preferences that are different from each other. They can be split up into two principal categories: cooperative (or collective) models,...
Persistent link: https://www.econbiz.de/10003923916
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Valid post-selection and post-regularization inference : an elementary, general approach
Chernozhukov, Victor; Hansen, Christian Bailey; … - In: Annual review of economics 7 (2015), pp. 649-688
Persistent link: https://www.econbiz.de/10011380852
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Nonunitary models of household behavior : a survey of the literature
Donni, Olivier; Chiappori, Pierre-André - In: Household economic behaviors, (pp. 1-40). 2011
Persistent link: https://www.econbiz.de/10009750557