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Displaying results 1 to 19 of 19.

  1. A new method for the correction of test scores manipulation
    Author: Pereda Fernández, Santiago
    Published: [2016]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    VS 450 (1047)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1047 (January 2016)
    Subjects: cheating correction; copula; nonlinear panel data; test scores manipulation
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  2. Estimation of counterfactual distributions with a continuous endogenous treatment
    Author: Pereda Fernández, Santiago
    Published: [2016]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 450 (1053)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1053 (February 2016)
    Subjects: copula; counterfactual distribution; endogeneity; policy analysis; quantile regression; unconditional distributional effects
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  3. Copula-based random effects models for clustered data
    Author: Pereda Fernández, Santiago
    Published: [2016]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    VS 450 (1092)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1092 (December 2016)
    Subjects: copula; high-dimensional integration; nonlinear panel data
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  4. Die Proposition mit Kopula
    Urteilscharakter, logisch-semantische Valenz und formalisierte Sprache
    Author: Schädler, Maria W. Z.
    Published: [2024]
    Publisher:  Narr Francke Attempto, Tübingen

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  5. Identification and estimation of triangular models with a binary treatment
    Author: Pereda Fernández, Santiago
    Published: [2019]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1210 (March 2019)
    Subjects: copula; endogeneity; policy analysis; quantile regression; unconditional distributional effects
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  6. Die Grammatik prädikativer Ausdrücke im Polnischen und Russischen
    Author: Pitsch, Hagen
    Published: 2014
    Publisher:  Niedersächsische Staats- und Universitätsbibliothek Göttingen, Göttingen

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    Source: Union catalogues
    Contributor: Junghanns, Uwe (Akademischer Betreuer); Zybatow, Gerhild (Akademischer Betreuer); Gaglia, Sascha (Akademischer Betreuer)
    Language: German
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 11858/00-1735-0000-0022-5E4F-1
    Subjects: Grammatik; Kopulasatz; Prädikation; Objektsprache; Morphosyntax; Semantik; Polnisch; Substantiv; Slawistik; Flexion; Linguistik; Sprachfamilie
    Other subjects: Kopula; Kopulasatz; Prädikativ; Modus; Verbmodus; Tempus; Aspekt; Russisch; Polnisch; Kasusvariation; Kasusalternation; Linguistik; Slavisch; Syntax; Semantik; Morphologie; Morphosyntax; copula; copular sentence; predicate expression; predicate nominal; mood; tense; aspect; Russian; Polish; case variation; case alternation; linguistics; Slavic; Slavonic; syntax; semantics; morphosyntax
    Scope: Online-Ressource
    Notes:

    Göttingen, Georg-August Universität, Diss., 2014
  7. The effects of crop insurance subsidies and sodsaver on land use change
    Author: Miao, Ruiqing; Hennessy, David A.; Feng, Hongli
    Published: 2012
    Publisher:  Center for Agricultural and Rural Development, Ames, Iowa

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    VS 318 (530)
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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Center for Agricultural and Rural Development ; 530
    Subjects: crop insurance; copula; grassland; land use; Sodsaver; Supplemental Revenue Assistance Payments
    Scope: Online-Ressource (16 S.), graph. Darst., Kt.
  8. Quantile selection models with an application to understanding changes in wage inequality
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: December 2016
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1610
    Subjects: Quantiles; sample selection; copula; wage inequality; gender wage gap
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. Sample selection in quantile regression
    a survey
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: January 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1702
    Subjects: Quantile regression; sample selection; copula; wage regressions
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  10. A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets
    Author: Manner, Hans; Rodriguez, Gabriel; Stöckler, Florian
    Published: December 2021
    Publisher:  Department of Economics, Department of Public Economics, University of Graz, Graz

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Graz economics papers ; GEP 2021, 14
    Subjects: Stock markets; commodity prices; Changepoint analysis; volatility; dependence modeling; copula; CoVaR
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  11. Aggregate density forecast of models using disaggregate data - a copula approach
    Author: Paulsen, Kenneth Sæterhagen; Fastbø, Tuva Marie; Ingebrigtsen, Tobias
    Published: [2022]
    Publisher:  Norges Bank, Oslo

    We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model... more

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    We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct a set of Monte Carlo studies to investigate the properties of the suggested approach. In our empirical application, we use the Norwegian index for goods consumption (VKI) and the Norwegian consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods using recursive out-of-sample estimation.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283792348
    Other identifier:
    hdl: 11250/2997500
    hdl: 10419/264947
    Series: Working paper / Norges Bank ; 2022, 5
    Subjects: Aggregate forecast; disaggregates; density forecast; copula
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  12. A flexible copula regression model with Bernoulli and Tweedie margins for estimating the effect of spending on mental health
    Author: Marra, Giampiero; Fasiolo, Matteo; Radice, Rosalba; Winkelmann, Rainer
    Published: May 2022
    Publisher:  University of Zurich, Department of Economics, Zurich

    Previous evidence shows that better insurance coverage increases medical expenditure. However, formal studies on the effect of spending on health outcomes, and especially mental health, are lacking. To fill this gap, we reanalyze data from the Rand... more

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    Previous evidence shows that better insurance coverage increases medical expenditure. However, formal studies on the effect of spending on health outcomes, and especially mental health, are lacking. To fill this gap, we reanalyze data from the Rand Health Insurance Experiment and estimate a joint non-linear model of spending and mental health. We address the endogeneity of spending in a flexible copula regression model with Bernoulli and Tweedie margins and discuss its implementation in the freely available GJRM R package. Results confirm the importance of accounting for endogeneity: in the joint model, a $1000 spending in mental care is estimated to reduce the probability of low mental health by 1.3 percentage points, but this effect is not statistically significant. Ignoring endogeneity leads to a spurious (upwardly biased) estimate.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/260597
    Series: Working paper series / University of Zurich, Department of Economics ; no. 413
    Subjects: Binary response; co-payment; copula; health expenditures; penalized regression spline; Rand experiment; simultaneous estimation; Tweedie distribution
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  13. Score-driven time series models
    Author: Harvey, Andrew C.
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Cambridge working paper in economics ; 2133
    Subjects: copula; count data; directional data; generalized autoregressive conditional heteroscedasticity; generalized beta distribution of the second kind; observation-driven model; robustness
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  14. Copula-based estimation of health concentration curves with an application to COVID-19
    Author: Bouezmarni, Taoufik; Doukali, Mohamed; Taamouti, Abderrahim
    Published: [2022]
    Publisher:  CIRANO, [Montréal]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / CIRANO ; 2022s, 07
    Subjects: Health concentration curve; Gini coeffcient; inequality; copula; semi/nonparametric estimators; COVID-19 infections and deaths
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  15. A joint top income and wealth distribution
    Author: Steiner, Viktor; Zhu, Junyi
    Published: [2021]
    Publisher:  Freie Universität Berlin, Berlin

    Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data. This paper develops the technique of incorporating the joint distributional relationship to enhance the... more

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    DS 79
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    Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data. This paper develops the technique of incorporating the joint distributional relationship to enhance the estimation of these two top distributions by using the best data available for Germany. We leverage the bivariate copula to extrapolate both income and wealth distributions from German PHF (Panel on Household Finance) data under the incidental truncation model. The copula modelling grants the separability in choosing the estimation domain as well as the parametric specification between the marginal distribution and dependence structure. One distinct feature of our paper is to complement the model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one margin conditional on the characteristics of the other. The validation exercises show that our copula-based approach can approximate much closer to the top tax data and wealth "rich list" than those unconditional marginal extrapolations. The data and effectiveness of our copula-based approach also verify our presumption of incidental truncation and differential detectability in the top lists.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/229427
    Series: Array ; 2021, 3
    Subjects: income and wealth joint distribution; copula; heavy-tailed distributions; external consistency; incidental truncation
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  16. Estimating spatial basis risk in rainfall index insurance
    methodology and application to excess rainfall insurance in Uruguay
    Author: Ceballos, Francisco
    Published: December 2016
    Publisher:  International Food Policy Research Institute, Washington, DC, USA

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: IFPRI discussion paper ; 01595
    Subjects: index insurance; basis risk; excess rainfall; copula; spatial properties of rainfall
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  17. Coherent probabilistic forecasts for hierarchical time series
    Author: Ben Taieb, Souhaib; Taylor, James W.; Hyndman, Rob J.
    Published: April 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 03
    Subjects: forecast combination; probabilistic forecast; copula; machine learning
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  18. Cryptocurrencies
    a copula based approach for asymmetric risk marginal allocations
    Author: Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad
    Published: [2020]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on... more

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    Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high volatility dynamics of the cryptocurrency market, realized volatility measures computed from different frames (1m, 5m, 15m, 30m, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR/ES Monte Carlo simulations. Even if results lack data frequency ordinality in terms of out-of-sample goodness, Bitcoin and Litecoin are generally recognized as the safest and riskiest currency respectively on an equally-weighted framework, reflecting how the contribution to portfolio returns is not representative of the real grade of risk diversification.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/234839
    Series: Joint discussion paper series in economics ; no. 2020, 34
    Subjects: cryptocurrency tradiing; tail risk; realized volatility; copula; portfolio optimization
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  19. A joint top income and wealth distribution
    Author: Steiner, Viktor; Zhu, Junyi
    Published: 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data. This paper develops the technique of incorporating the joint distributional relationship to enhance the... more

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    Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data. This paper develops the technique of incorporating the joint distributional relationship to enhance the estimation of these two top distributions. We leverage the bivariate parametric/non-parametric copula to extrapolate both income and wealth distributions from German PHF (Panel on Household Finance) data. The copula modelling potentially reduces the ad hocery in choosing the estimation domain as well as in the parametric specification (eg Pareto family) imposed by almost all the marginal approaches. One distinct feature of our paper is to complement the model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one margin conditional on the characteristics of the other. The validation exercises show that our copula-based approach can approximate much closer to the top tax data and wealth "rich list" than those unconditional marginal extrapolations. The properness of copula and conditioning criterion seems to convince the asymmetric joint association between (labor) income and wealth (capital income) distributions as recently evidenced by other countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/224651
    Edition: Preliminary draft – 2019.05.30
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 132
    Subjects: income and wealth joint distribution; copula; heavy-tailed distributions; external consistency
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen