Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2009%2E08280
Teks penuh
Gambar
Dokumen terkait
The Monte Carlo comparisons use the CI approach to hypothesis testing, similar to the approach adopted by Biewen (2002) in studying the relative performance of asymptotic and
In this section we perform a Monte-Carlo simulation to obtain the total (or aggregated) operational risk loss dis- tribution based on the four risk event categories. We again provide
In this article, we consider identification and estimation of average marginal effects in a correlated random effects model without imposing functional form assumptions on
The graph presents the joint posterior density of the lead/lag parameters κ 1 and κ 2 in the MS-VAR model with a nonsynchronous common cycle with asymmetric lead/lag times κ 1 at
1996—Winner: Ekaterini Kyriazidou, Northwestern Univer- sity thesis, “Essays in Estimation and Testing of Econometric Models.” Honorable Mention : Gaham Elliot, Harvard Univer-
KEY WORDS: Backtesting; Basel Accord; Conditional quantile; Estimation risk; Fixed, rolling, and recursive forecasting scheme; Forecast evaluation; Risk management;
The prior in ( 18 ) gen- erates an equicorrelated prior structure for β with prior cor- relation a throughout. Thus for a = 0, the prior variance of the difference between
We check whether our results are robust with respect to other measures of policy shocks: (1) daily (instead of intraday) changes in spot month federal funds futures, (2) a measure
