1,721,167 research outputs found
Quantile Regression in Risk Calibration
Get PDFFinancial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a stressful situation for one market participant, one likes to measure how this stress affects other factors. The CoVaR (Conditional VaR) framework has been developed for this purpose. The basic technical elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric modeling framework for CoVaR is proposed. A partial linear model (PLM) is analyzed. In applying the technology to stock data covering the crisis period, the PLM outperforms in the crisis time, with the justification of the backtesting procedures. Moreover, using the data on global stock markets indices, the analysis on marginal contribution of risk (MCR) defined as the local first order derivative of the quantile curve sheds some light on the source of the global market risk.CoVaR, Value-at-Risk, quantile regression, locally linear quantile regression, partial linear model, semiparametric model
Uniform confidence bands for pricing kernels
Get PDFPricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The former density can be represented as the second derivative w.r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense. Particularly, to evaluate the overall variation of the pricing kernel, we develop a uniform confidence band of the EPK. Furthermore, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The established results are assessed and compared in a Monte-Carlo study. As a real application, we test risk aversion over time induced by the EPK.Empirical Pricing Kernel, Confidence band, Bootstrap; Kernel Smoothing; Nonparametric
How to Determine the Optimum Time to Harvest Hops
No full textThis article explains how to determine the optimum time to harvest hops. It is part of a series that examines the challenges and opportunities of hop production in Florida based on research at the UF/IFAS Gulf Coast Research and Education Center (UF/IFAS GCREC). Written by Shinsuke Agehara, Mariel Gallardo, Christopher DelCastillo, Weining Wang, and Jack Rechcigl, and published by the UF/IFAS Horticultural Sciences Department; 4 pp.
https://edis.ifas.ufl.edu/hs143
Guidelines for Pomegranate Nutrient Management in Florida
No full textMany Florida growers are interested in the potential of pomegranate as an alternative fruit crop. The first flush of flowers produces the best quality fruit, and climatic conditions have a great impact on the timing of flowering. Proper fertilization is critical to promote healthy canopy development, minimize nutrient disorders, and maximize fruit yield and quality. This new 5-page article, written by Shinsuke Agehara, Weining Wang, and Ali Sarkhosh and published by the UF/IFAS Horticultural Sciences Department, provides guidelines for pomegranate nutrient management in Florida.
https://edis.ifas.ufl.edu/hs134
Hop Harvesting Procedures for Small-Scale Production
No full textThis new 4-page publication of the UF/IFAS Horticultural Sciences Department explains hop harvesting procedures for small-scale production (generally up to 5 acres). It is part of a series that examines the challenges and opportunities for hop production in Florida based on research at the UF/IFAS Gulf Coast Research and Education Center. Written by Shinsuke Agehara, Chris DelCastillo, Mariel Gallardo, Weining Wang, and Jack Rechcigl.
https://edis.ifas.ufl.edu/hs143
Cómo Determinar el Tiempo Óptimo para Cosechar Lúpulos
No full textEste artículo explica cómo determinar el momento óptimo para cosechar el lúpulo. Es parte de una serie que examina los desafíos y las oportunidades de la producción de lúpulo en Florida con base en la investigación del UF/IFAS Gulf Coast Research and Education Center (UF/IFAS GCREC). Escrito por Shinsuke Agehara, Mariel Gallardo, Christopher Del Castillo, Weining Wang, y Jack Rechcigl; traducido por Mariel Gallardo; 4 pp.
https://edis.ifas.ufl.edu/hs144
The Law of Attraction: Bilateral Search and Horizontal Heterogeneity
Get PDFWe study a matching model with heterogeneous agents, nontransferable utility and search frictions. Agents differ along a horizontal dimension (e.g. taste) and a vertical dimension (e.g. income). Agents’ preferences coincide only in the vertical dimension. This approach introduces individual preferences in this literature as seems suitable in applications like labor markets (e.g. regional preferences). We analyze how the notion of assortativeness generalizes to integration or segregation outcomes depending on search frictions. Contrary to results from the purely vertical analysis, here, agents continuously adjust their reservation utility strategies to changing search frictions. The model is easily generalizable in the utility specification, the distribution of taste-related payoffs and the number of vertical types. Extreme utility specifications can be treated as a case of horizontal heterogeneity only.Matching, Horizontal Differentiation , Marriage Markets
How Computational Statistics Became the Backbone of Modern Data Science
Get PDFThis first chapter serves as an introduction and overview for a collection of articles surveying the current state of the science of computational statistics. Earlier versions of most of these articles appeared in the first edition of Handbook of Computational Statistics: Concepts and Methods, published in 2004. There have been advances in all of the areas of computational statistics, so we feel that it is time to revise and update this Handbook. This introduction is a revision of the introductory chapter of the first edition.Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH
Procedimientos para Cosechar Lúpulos en Producción a Pequeña Escala
No full textEste artículo explica los procedimientos de cosecha de lúpulo para la producción a pequeña escala (generalmente hasta 5 acres). Este artículo es parte de una serie que examina los desafíos y las oportunidades para la producción de lúpulo en Florida con base en la investigación en el UF/IFAS Gulf Coast Research and Education Center (UF/IFAS GCREC). La audiencia prevista para este artículo incluye productores, asesores de cultivos certificados, consultores de cultivos y profesores de Extensión. Shinsuke Agehara, Christopher DelCastillo, Mariel Gallardo, Weining Wang, y Jack Rechcigl; traducido por Mariel Gallardo; 4 pp.
https://edis.ifas.ufl.edu/hs144
Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Get PDFA Lévy process is observed at time points of distance Δ until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and Δ. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.Jump process, Lévy measure, deconvolution problem, statistical inverse problem
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