搜索结果: 1-14 共查到“理论经济学 Dependence”相关记录14条 . 查询时间(0.073 秒)
On spatial processes and asymptotic inference under near-epoch dependence
Random fields Near-epoch dependent processes Central limit theorem Law of large numbers GMM estimator
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2015/9/24
The development of a general inferential theory for nonlinear models with cross-sectionally or spatially dependent data has been hampered by a lack of appropriate limit theorems. To facilitate a gener...
Caught in the Bulimic Trap?Persistence and State Dependence of Bulimia Among Young Women
Bulimia Nervosa Demographics State Dependence Instrumental Variables and Dynamic Panel Data Estimation
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2015/9/18
Bulimia nervosa (BN) is a growing health concern and its consequences are especially serious given the compulsive nature of the disorder. However, little is known about the mechanisms underlying the p...
On dependence consistency of CoVaR and some other systemic risk;measures
dependence consistency of CoVaR some other systemic risk measures
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2012/9/14
This paper is dedicated to the consistency of systemic risk mea-sures with respect to stochastic dependence. It compares two alter-native notions of Conditional Value-at-Risk (CoVaR) available in the ...
Hybrid property, path dependence, market segmentation and financial exclusion: the case of the banking industry in China
banking industry financial exclusion financial geographies hybrid property
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2011/9/24
This paper investigates the role of the state in the liberalisation of the banking industry in China and the implications for the conventional convergence thesis of market segmentation and financial e...
Collateralized CDS and Default Dependence
CVA CSA CCP swap collateral derivatives OIS EONIA Fed-Fund
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2011/7/22
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have...
A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications
Spatial dependence Score test Robust test Distribution misspecification Local misspecification
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2011/4/2
It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to loc...
Dependence of defaults and recoveries in structural credit risk models
Credit risk Loss distribution Value at Risk Expected Tail Loss Stochastic
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2011/3/23
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are ...
Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence
Asymptotics kernel smoothing local time of an Ornstein-Uhlenbeck fractional Brownian motion nonlinearity nonstationary covariates unit root
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2011/4/2
We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA mode...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
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2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
Perturbed Copula: Introducing the skew effect in the co-dependence
Introducing the skew effect co-dependence
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2010/10/18
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows...
An information theoretic approach to statistical dependence: copula information
An information theoretic statistical dependence copula information
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2010/11/3
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and depende...
Dynamic operational risk: modeling dependence and combining different sources of information
dependence modelling copula compound process operational risk Bayesian inference Markov chain Monte Carlo Slice sampling
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2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics
ARMA models Durbin–Watson statistic efficient market hypothesis entropy generalized spectral density homoskedasticity heteroskedasticity
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2011/4/2
In this article we discuss serial correlation in a linear time series regression context and serial dependence in a nonlinear time series context.
Serial Correlation and Serial Dependence
Serial correlation and serial dependence series econometrics linear regression model
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2011/4/6
Serial correlation and serial dependence has been central to time series econometrics. The
existence of serial correlation complicates statistical inference of econometric models, and in time series ...