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Testing for Instability in Factor Structure of Yield Curves
Philip, Dennis; Kao, Chihwa; Urga, Giovanni - Center for Policy Research, Maxwell School - 2007
A widely relied upon but a formally untested consideration is the issue of stability in actors underlying the term structure of interest rates. In testing for stability, practitioners as well as academics have employed ad yhoc techniques such as splitting the sample into a few sub-periods and...
Persistent link: https://www.econbiz.de/10005698340
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Deriving the Information Bounds for Nonlinear Panel Data Models with Fixed Effects
Iwakura, Haruo - Institute of Economic Research, Kyoto University - 2014
This paper studies the asymptotic efficiency of estimates in nonlinear panel data models with fixed effects when both the cross-sectional sample size and the length of time series tend to infinity. The efficiency bounds for regular estimators are derived using the infinite-dimensional...
Persistent link: https://www.econbiz.de/10010735418
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Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns
Myšičková, Alena; Song, Song; Majer, Piotr; Mohr, … - 2011
panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task … subjects' decision behavior. Keywords: risk, risk attitude, fMRI, decision making, medial orbifrontal cortex, semiparametric … representation. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and …
Persistent link: https://www.econbiz.de/10010319198
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model …
Persistent link: https://www.econbiz.de/10010270816
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Portfolio decisions and brain reactions via the CEAD method
Majer, Piotr; Mohr, Peter N. C.; Heekeren, Hauke R.; … - 2014
Decision making can be a complex process requiring the integration of several attributes of choice options. Understanding the neural processes underlying (uncertain) investment decisions is an important topic in neuroeconomics. We analyzed functional magnetic resonance imaging (fMRI) data from...
Persistent link: https://www.econbiz.de/10010427044
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Portfolio Decisions and Brain Reactions via the CEAD method
Majer, Piotr; Mohr, Peter; Heekeren, Hauke; Härdle, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Decision making can be a complex process requiring the integration of several attributes of choice options. Understanding the neural processes underlying (uncertain) investment decisions is an important topic in neuroeconomics. We analyzed functional magnetic resonance imaging (fMRI) data from...
Persistent link: https://www.econbiz.de/10010895347
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Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
Härdle, Wolfgang Karl; Majer, Piotr; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed … with the standard market method - dynamic Nelson-Siegel model. Our findings show that two nonparametric factors capture the … yield curve. For panel term structure data, three nonparametric factors are necessary to explain 95% variation. The …
Persistent link: https://www.econbiz.de/10010563998
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Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns
Myšičková, Alena; Song, Song; Majer, Piotr; Mohr, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task …
Persistent link: https://www.econbiz.de/10009364994
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Portfolio decisions and brain reactions via the CEAD method
Majer, Piotr; Mohr, Peter; Heekeren, Hauke R.; Härdle, … - 2014
Decision making can be a complex process requiring the integration of several attributes of choice options. Understanding the neural processes underlying (uncertain) investment decisions is an important topic in neuroeconomics. We analyzed functional magnetic resonance imaging (fMRI) data from...
Persistent link: https://www.econbiz.de/10010379977