Showing 31 - 40 of 118
This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...
Persistent link: https://www.econbiz.de/10012619640
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010281483
We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...
Persistent link: https://www.econbiz.de/10010281566
In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...
Persistent link: https://www.econbiz.de/10010281571
We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models,...
Persistent link: https://www.econbiz.de/10010281590
In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...
Persistent link: https://www.econbiz.de/10010282430
We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models,...
Persistent link: https://www.econbiz.de/10008911848
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to \realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10011240325
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10010728001
Standard fixed symmetric kernel-type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. It is shown that, in such settings, alternatives of asymmetric gamma kernel estimators are superior, but also differ in asymptotic...
Persistent link: https://www.econbiz.de/10010730216