Download or read book Density Selection and Combination Under Model Ambiguity written by Stefania D'Amico and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models.
Download or read book Density Selection and Combination Under Model Ambiguity written by Stefania D'Amico and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models.
Download or read book Combining Forecasts from Nested Models written by Todd E. Clark and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but as the sample size grows, the DGP converges to the restricted model. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. In the Monte Carlo and empirical analysis, we compare the effectiveness of our combination approach against related alternatives, such as Bayesian estimation.
Download or read book Realized Jumps on Financial Markets and Predicting Credit Spreads written by George Eugene Tauchen and published by . This book was released on 2006 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.
Download or read book Machine Learning in Document Analysis and Recognition written by Simone Marinai and published by Springer Science & Business Media. This book was released on 2008-01-10 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of Document Analysis and Recognition (DAR) is to recognize the text and graphical components of a document and to extract information. This book is a collection of research papers and state-of-the-art reviews by leading researchers all over the world. It includes pointers to challenges and opportunities for future research directions. The main goal of the book is to identify good practices for the use of learning strategies in DAR.
Download or read book Why are Plant Deaths Countercyclical written by Andrew Figura and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Closer Look at the Sensitivity Puzzle written by Meredith Beechey and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A No arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure written by Liuren Wu and published by . This book was released on 2005 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition written by W. Scott Frame and published by . This book was released on 2007 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book External Habit and the Cyclicality of Expected Stock Returns written by Thomas D. Tallarini and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Why Do Firms Offer Risky Defined Benefit Pension Plans written by David A. Love and published by . This book was released on 2007 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating the Long run User Cost Elasticity for a Small Open Economy written by Brahima Coulibaly and published by . This book was released on 2007 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring a Counterparty Credit Exposure to a Margined Counterparty written by Michael S. Gibson and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin.
Download or read book Liquidity Default Taxes and Yields on Municipal Bonds written by Junbo Wang and published by . This book was released on 2005 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, they estimate the liquidity risk of municipals and its effect on bond yields. They find that a substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributable to the liquidity premium. Controlling for the effects of default and liquidity risk, they obtain implicit tax rates very close to the statutory tax rates of high-income individuals and corporations, and these tax rate estimates are remarkably stable over maturities.
Download or read book Hyperbolic Discounting and Uniform Savings Floors written by Benjamin A. Malin and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Post Brown Vs the Board of Education written by Byron F. Lutz and published by . This book was released on 2005 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do High Debt Payments Hinder Household Consumption Smoothing written by Kathleen W. Johnson and published by . This book was released on 2007 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
