Now showing items 61-70 of 238
Localising ForwardIntensities forMultiperiod CorporateDefault
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and ...
Forecasting GeneralizedQuantiles of ElectricityDemand
A FunctionalData Approach
Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting ...
Structural VectorAutoregressions withSmooth Transition inVariances
The Interaction BetweenU.S. Monetary Policy andthe Stock Market
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have ...
Adaptive Order FlowForecasting withMultiplicativeError Models
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict ...
Downside riskand stock returns
An empirical analysis ofthe long-run and short-run dynamics from the G-7 Countries
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations ...
College Admissionswith Entrance Exams
We study a college admissions problem in which colleges accept students by ranking students’ efforts in entrance exams. Students’ ability levels affect the cost of their efforts. We solve and compare the equilibria of ...
TFP Convergence in German States since Reunification
Evidence and Explanations
A quarter-century after reunification, labor productivity in eastern Germany continues to lag systematically behind the West. Denison Hall-Jones point-in-time estimates point to large gaps in total factor productivity as ...