Skip to main navigation Skip to main content
info(at)avldigital.remove-this.de
Deutsch English
Last searches

Results for *

Displaying results 1 to 25 of 27.

  1. Deriving multivariate probabilistic solar generation forecasts based on hourly imbalanced data
    Author: Pflugfelder, Yannik; Schinke-Nendza, Aiko; Dumas, Jonathan; Weber, Christoph
    Published: November 2024
    Publisher:  House of Energy Markets and Finance, University of Duisburg-Essen, [Essen]

    Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 481
    Inter-library loan:
    No inter-library loan

     

    Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day and night-time periods in solar photovoltaic (PV) generation. The proposed approach offers a robust and accurate method for predicting solar PV output by incorporating forecast updates and modeling the temporal interdependencies. The methodology is applied to a case study in France, demonstrating effectiveness across different spatial granularities and forecast horizons. The model uses advanced data handling methods combined with copula models, resulting in improved Energy Scores and Variogram-based Scores. These improvements underscore the importance of addressing imbalanced data and utilizing multivariate models with repeated updates to enhance solar forecasting accuracy. This work contributes to advancing forecasting techniques essential for integrating renewable energy into power grids, supporting the global transition to a sustainable energy future.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: HEMF working paper ; no. 24, 07
    Subjects: Multivariate probabilistic forecasts; Forecast updates; Solar generation; Copula
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  2. Gaussian rank correlation and regression
    Author: Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan
    Published: 21 June 2020
    Publisher:  Centre for Economic Policy Research, London

    Access:
    Verlag (lizenzpflichtig)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
    Inter-library loan:
    No inter-library loan

    Location:
    Universitätsbibliothek Mannheim
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP14914
    Subjects: Copula; Growth Regressions; Migration; Misspeci…cation; Momentum; Robustness; Short-term reversals
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  3. The evolution of poverty in the EU-28
    a further look based on multivariate tail dependence
    Author: Garcia-Gomez, César; Pérez, Ana; Prieto Alaiz, Mercedes
    Published: 2022 March
    Publisher:  ECINEQ, Society for the Study of Economic Inequality, [Verona]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 726
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / ECINEQ, Society for the Study of Economic Inequality ; 605 (2022)
    Subjects: Multivariate tail dependence; Copula; Poverty; AROPE rate; Europe
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  4. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
    Author: Nguyen, Hoang; Virbickaite, Audrone
    Published: [2022]
    Publisher:  Örebro University School of Business, Örebro, Sweden

    Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 776
    Inter-library loan:
    No inter-library loan

     

    Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a long-run component, governed by related macro-finance variables. We find that inflation/interest rate, uncertainty and liquidity factors are the main drivers of the long-run co-dependence. We show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic outcomes as compared to other alternatives.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/262154
    Series: Array ; 2022, 5
    Subjects: Stock-Oil; Copula; MIDAS; SMC; Portfolio allocation; Hedging
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  5. Multivariate goodness-of-fit tests based on Wasserstein distance
    Author: Hallin, Marc; Mordant, Gilles; Segers, Johan
    Published: [2020]
    Publisher:  ECARES, Brussels, Belgium

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 313
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/303372
    Series: ECARES working paper ; 2020, 06 (March 2020)
    Subjects: Copula; Elliptical distribution; Goodness-of-fit; Multivariate normality; Optimal transport; Semi-discrete problem; Skew-t distribution; Wasserstein distance
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  6. Gaussian rank correlation and regression
    Author: Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan
    Published: June 2020
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 508
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 2004
    Subjects: Copula; growth regressions; migration; misspecification; momentum; robustness; shortterm reversals
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  7. Measuring cumulative deprivation and affluence based on the diagonal dependence diagram
    Author: Decancq, Koen
    Published: [2020]
    Publisher:  KU Leuven, Department of Economics, Leuven

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 596
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper series / KU Leuven, Department of Economics ; DPS20, 02 (March 2020)
    Subjects: Copula; Cumulative Deprivation; Cumulative Affluence; Diagonal Dependence; Spearman's Footrule; Gini's cograduation index
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  8. Dependence structure between oil price volatility and sovereign credit risk of oil exporters
    evidence using a Copula approach
    Author: Ehouman, Yao Axel
    Published: [2020]
    Publisher:  EconomiX - UMR7235, Université Paris Nanterre, Nanterre

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 334
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / EconomiX ; 2020, 31
    Subjects: Copula; Dependence; Oil price; Sovereign credit risk; Uncertainty
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  9. The integrated copula spectrum
    Author: Goto, Yuichi; Kley, Tobias; Van Hecke, Ria; Volgushev, Stanislav; Dette, Holger; Hallin, Marc
    Published: December 2021
    Publisher:  ECARES, Brussels, Belgium

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 313
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/335426
    Series: ECARES working paper ; 2021, 29
    Subjects: Copula; Ranks; Time series; Frequency domain; Time-reversibility
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  10. Going beyond gold
    can equities be safe-haven?
    Author: SG, Janani Sri; Kayal, Parthajit
    Published: September 2020
    Publisher:  Madras School of Economics, Chennai, India

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Madras School of Economics ; 203 (2020)
    Subjects: Safe-haven; Hedging; Copula
    Scope: 1 Online-Ressource (circa 45 Seiten)
  11. Essays on portfolio optimization and estimation risk
    Author: Kovalenko, Illia
    Published: December, 2021

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 10197/13029
    Subjects: Portfolio management; Option-implied probability; Robust optimization; Copula
    Scope: 1 Online-Ressource (circa 156 Seiten), Illustrationen
    Notes:

    Dissertation, University College Dublin, 2022
  12. Threshold endogeneity in threshold VARs
    an application to monetary state dependence
    Author: Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias
    Published: [2023]
    Publisher:  Federal Research Bank of Kansas City, Kansas City, Mo.

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 359
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: KcFED research working papers ; RWP 23, 09 (July 2023)
    Subjects: VAR; State Dependency; Copula; Monte Carlo; Monetary Policy; Impulse Response; Davig-Leeper
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  13. Constructing copulas using corrected hermite polynomial expansion for estimating cross foreign exchange volatility
    Author: Shiraya, Kenichiro; Yamakami, Tomohisa
    Published: [2023]
    Publisher:  [Center for Advanced Research in Finance], [Tokyo]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 818
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; CARF-F-553]
    Subjects: Finance; Copula; Hermite polynomial expansion; Currency option; Correction of probability density
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  14. Does the US contagion risk affect foreign direct investment inflows in emerging economies?
    Author: Woraphon Yamaka; Paravee Maneejuk
    Published: [2022]
    Publisher:  [Puey Ungphakorn Institute for Economic Research], [Bangkok]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 785
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Puey Ungphakorn Institute for Economic Research ; no. 192 (November 2022)
    Subjects: Contagion risk; Emerging Economies; Foreign Direct Investment; Copula; Tail dependence
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  15. Return-volatility relationship
    insights from linear and non-linear quantile regression
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/87245
    Series: Array ; 2013,020
    Subjects: Börsenkurs; Kapitaleinkommen; Volatilität; Regressionsanalyse; Multivariate Verteilung; Kleinste-Quadrate-Methode; Welt; Return-volatility relationship; Quantile regression; Copula; Copula quantile; Regression; Volatility index; Tail dependence
    Scope: Online-Ressource (25 S.), graph. Darst.
  16. Grammar Competition in Second Language Acquisition
    The Case of English Non-Verbal Predicates for Indonesian L1 Speakers
    Author: Besier, Dominik
    Published: 2024
    Publisher:  de Gruyter Mouton, Berlin

    Export to reference management software   RIS file
      BibTeX file
    Content information
  17. Grammar competition in second language acquisition
    the case of English non-verbal predicates for Indonesian L1 speakers
    Author: Besier, Dominik
    Published: [2023]
    Publisher:  De Gruyter Mouton, Berlin

    Export to reference management software   RIS file
      BibTeX file
  18. Essays on multivariate modelling of financial markets using copula and sentiment networks
    Author: Tetereva, Anastasija
    Published: 2018

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (Array)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Dissertation no. 4819
    Subjects: Copula; early warning indicator; financial econometrics; Hawkes graphs; lasso; sentiment analysis; value at risk
    Scope: 1 Online-Ressource (circa 135 Seiten), Illustrationen
    Notes:

    Enthält 3 Beiträge

    Dissertation, University of St.Gallen, 2018
  19. Trending mixture copula models with copula selection
    Author: Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, Guannan
    Published: 2018
    Publisher:  University of Kansas, Department of Economics, Lawrence, Kansas

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 526
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series in theoretical and applied economics ; 2018, 09
    Subjects: Copula; Time-Varying Copula; Mixture Copula; Copula Selection
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  20. A non-linear forecast combination procedure for binary outcomes
    Author: Lahiri, Kajal; Yang, Liu
    Published: 2015
    Publisher:  CESifo, München

    We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory... more

    Location:
    Staats- und Universitätsbibliothek Bremen
    Inter-library loan:
    No inter-library loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63 (5175)
    Inter-library loan:
    No inter-library loan

     

    We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating characteristic (ROC) curve. Under additional assumptions, this rule is shown to be equivalent to the quintessential linear combination scheme. To illustrate its usefulness, we apply this methodology to optimally aggregate two currently used leading indicators-the ISM new order diffusion index and the yield curve spread-to predict economic recessions in the United States. We also examine the sources of forecasting gains using a counterfactual experimental set up.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107305
    RVK Categories: QB 910
    Series: Array ; 5175
    Subjects: receiver operating characteristic curve; Copula; Bayesian methods; Markov chain Monte Carlo; yield spread; ISM diffusion index
    Scope: Online-Ressource ([1], 38 S.), graph. Darst.
  21. Copula directed acyclic graphs
    Author: Pircalabelu, E.; Claeskens, G.; Gijbels, Irène
    Published: 2015
    Publisher:  KU Leuven, Faculty of Economics and Business, Leuven, België

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: KBI ; KBI_15, 19
    Subjects: Directed acyclic graph; Copula; C-vine; D-vine; Model selection
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  22. Managing portfolio risk using multivariate extreme value methods
    Author: Hilal, Sawson; Poon, Ser-Huang; Tawn, Jonathan
    Published: 2013
    Publisher:  Manchester Business School, Manchester

    This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The core of the provided strategy is a statistical model for the joint tail distribution that attempts to capture accurately the data... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 196 (646)
    Inter-library loan:
    No inter-library loan

     

    This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The core of the provided strategy is a statistical model for the joint tail distribution that attempts to capture accurately the data generating process through an extremal modelling for the univariate margins and the multivariate dependence structure. It takes into account the asymmetric behavior of extreme negative and positive returns, the heterogeneous temporal and cross-sectional lead-lag extremal dependencies among the portfolio constituents. The strategy facilitates scenario generation for future returns, estimation of portfolio profit-and-loss distribution and calculation of risk measures, and hence, enabling us to answer several questions of economic interest. We illustrate the usefulness of our proposal by an application to stock market returns for the G5 economies.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102368
    Series: Manchester Business School working paper ; 636
    Subjects: ARMA-GARCH filtering; Asymptotic dependence; Asymptotic independence; Copula; Multivariate extreme values
    Scope: Online-Ressource (33 S.), graph. Darst.
  23. Spatial dependencies of wind power and interrelations with spot price dynamics
    Author: Elberg, Christina; Hagspiel, Simeon
    Published: 2013
    Publisher:  EWI, Univ., Cologne

    Wind power has seen strong growth over the last decade and increasingly affects electricity spot prices. Generation from wind energy is stochastic, and if there is lot of wind, prices tend to be lower. Therefore, for an investor, but also for the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 5 (2013,11)
    Inter-library loan:
    No inter-library loan

     

    Wind power has seen strong growth over the last decade and increasingly affects electricity spot prices. Generation from wind energy is stochastic, and if there is lot of wind, prices tend to be lower. Therefore, for an investor, but also for the whole electricity system, it is important to assess the value of wind power at different locations. In this paper, we develop a stochastic simulation model that captures the full spatial dependence structure of wind power by using copulas, incorporated into a structural supply and demand based model for the electricity spot price. This model is calibrated with German data. We find that the specific location of a turbine - i.e., its spatial dependence with respect to the aggregated wind power in the system - is of high relevance for its value. Many of the locations analyzed show an upper tail dependence that adversely impacts the market value. Therefore, a model that assumes a linear dependence structure would systematically overestimate the market value of wind power in many cases. This effect becomes more important for increasing levels of wind power penetration and may render the large-scale integration into markets more difficult.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/92964
    Series: EWI working paper ; 13/11
    Subjects: OR in Energy; Wind Power; Market Value; Copula; Stochastic Spot Price Model; Simulation
    Scope: Online-Ressource (27 S.), graph. Darst., Kt.
  24. Efficient iterative maximum likelihood estimation of high-parameterized time series models
    Author: Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander
    Published: 2014
    Publisher:  SFB 649, Economic Risk, Berlin

    We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the... more

    Location:
    Staats- und Universitätsbibliothek Bremen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 86 (2014,10)
    Inter-library loan:
    No inter-library loan

     

    We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields computationally tractable, consistent and asymptotic efficient estimates of all parameters. We show the asymptotic normality and derive the estimator's asymptotic covariance in dependence of the number of iteration steps. To mitigate the curse of dimensionality in high-parameterized models, we combine the procedure with a penalization approach yielding sparsity and reducing model complexity. Small sample properties of the estimator are illustrated for two time series models in a simulation study. In an empirical application, we use the proposed method to estimate the connectedness between companies by extending the approach by Diebold and Yilmaz (2014) to a high-dimensional non-Gaussian setting.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/91592
    Series: SFB 649 discussion paper ; 2014-010
    Subjects: Multi-Step estimation; Sparse estimation; Multivariate time series; Maximum likelihood estimation; Copula
    Scope: Online-Ressource (32 S.), graph. Darst.
  25. Efficient iterative maximum likelihood estimation of high-parameterized time series models
    Author: Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander
    Published: 2014
    Publisher:  Center for Financial Studies, Frankfurt, Main

    We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (450)
    Inter-library loan:
    No inter-library loan

     

    We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields computationally tractable, consistent and asymptotic efficient estimates of all parameters. We show the asymptotic normality and derive the estimator's asymptotic covariance in dependence of the number of iteration steps. To mitigate the curse of dimensionality in high-parameterized models, we combine the procedure with a penalization approach yielding sparsity and reducing model complexity. Small sample properties of the estimator are illustrated for two time series models in a simulation study. In an empirical application, we use the proposed method to estimate the connectedness between companies by extending the approach by Diebold and Yilmaz (2014) to a high-dimensional non-Gaussian setting.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/92941
    Series: CFS working paper ; 450
    Subjects: Multi-Step estimation; Sparse estimation; Multivariate time series; Maximum likelihood estimation; Copula
    Scope: Online-Ressource (32 S.), graph. Darst.