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KEY WORDS: Backtesting; Basel Accord; Conditional quantile; Estimation risk; Fixed, rolling, and recursive forecasting scheme; Forecast evaluation; Risk management;
Given a conditional probability model for the outcome of interest (e.g., logit or pro- bit), we introduce the idea of maximum welfare estimation and derive conditions under
The first contribution of this article is to propose the Gaussian mixture dynamic conditional correlation (GMDCC) model with conditional volatilities following EGARCH models and with
In this article, we propose a semiparametric conditional co- variance (SCC) model, which combines parametric and non- parametric estimators of conditional covariance matrix in
KEY WORDS: Demand systems; Kernel smoothing; Local and global ranks; Matrix rank estimation; Varying-coefficient model.. It is also covered in a recent comprehensive monograph
Given that job mobility— especially toward jobs that place greater importance on the skill measured by test score Z—can produce a positive estimated Z- X slope in the absence
The estimated male coef fi cient in the teacher- grade regression is negative in every case, and the misalignment of grades with test scores steadily in- creases as black and
The structural estimation combines group- speci fi c productivity measures and the empirical distribution of fi rms’ productivity estimated from fi rm- level data,
