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Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Properties of hierarchical Archimedean copulas

Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2009

tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures … and extreme value copulas. Special attention we pay to the tail dependencies and derive several tail dependence indices …

Persistent link: https://www.econbiz.de/10003814517

Building loss models

Burnecki, Krzysztof; Janczura, Joanna; Weron, Rafał - 2010

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...

Persistent link: https://www.econbiz.de/10008663370

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables’ conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10009562759

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading … results. This occurs when a significant portion of the multivariate dependence structure in the tails is of higher dimension … than two. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in …

Persistent link: https://www.econbiz.de/10010402973

TFP convergence in German states since reunification : evidence and explanations

Burda, Michael C.; Severgnini, Battista - 2015

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 the proximate cause, and auxiliary measurements which do not rely on...

Persistent link: https://www.econbiz.de/10011437754

Solow residuals without capital stocks

Burda, Michael C. (contributor); … - 2008

For more than fifty years, the Solow decomposition (Solow 1957) has served as the standard measurement of total factor productivity (TFP) growth in economics and management, yet little is known about its precision, especially when the capital stock is poorly measured. Using synthetic data...

Persistent link: https://www.econbiz.de/10003770644

TFP growth in old and new Europe

Burda, Michael C.; Severgnini, Battista - 2009

Using Solow-Törnqvist residuals as well as two alternative measurements, we present estimates of total factor productivity (TFP) growth in a sample of 30 European economies for the period 1994-2005. In most of Western Europe, we find a deceleration of TFP growth since 2000. However, the...

Persistent link: https://www.econbiz.de/10003850709

Product policy and the East-West productivity gap

Görzig, Bernd; Gornig, Martin; Voshage, Ramona; … - 2009

After 20 years of transition from an economy integrated in an exchange scheme of planned economies towards an open market economy based on the ideas of competition, we ask whether East German firms succeeded in finding their place in the international division of labour. We concentrate on the...

Persistent link: https://www.econbiz.de/10003905583

Dynamic activity analysis model based win-win development forecasting under the environmental regulation in China

Shiyi, Chen; Härdle, Wolfgang - 2012

Porter Hypothesis states that environmental regulation may lead to win-win opportunities, that is, improve the productivity and reduce the undesirable output simultaneously. Based on directional distance function, this paper proposes a novel dynamic activity analysis model to forecast the...

Persistent link: https://www.econbiz.de/10009407029