303 research outputs found
A Simple Asymptotic Analysis of Residual-Based Statistics
Full text linkWhat s the asymptotic null distribution of a rank-based serial autocorrelation test applied to residuals of an estimated GARCH model?What s the limiting distribution of estimated ACD parameters applied to the residuals of some first-stage modelling procedure?This paper addresses the often occurring situation in econometrics of applying standard statistics to residuals instead of innovations.The paper provides a simple and unified way of calculating the necessary adjustment in the limiting distribution, be it of tests or estimators. On the technical side, we also provide a novel approach to this problem using Le Cam s theory of convergence of experiments (in this paper restricted to Gaussian shift experiments).The resulting formula is simple and the regularity conditions required fairly minimal.Numerous examples show the strength and wide applicability of our approach.statistics;estimation;ranking
Currency hedging for international stock portfolios: The usefulness of mean variance analysis.
Full text linkSelf-designing networks and structural influences on safety: Developing a theory on the relation between organizational design and safety in temporary organizations that operate in a dynamic environment
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178382.pdf (Publisher’s version ) (Open Access)Delft University of Technology, 01 juni 2017Promotores : Ale, B.J.M., Kramer, E.H.213 p
Currency Hedging for International Stock Portfolios: A General Approach
Full text linkThis paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary regression, similar to the Jensen regression, provides a wealth of information about the optimal portfolio holdings for investors for the non mean-variance case. This is analogous to the information provided by the Jensen regression about optimal portfolio holdings for the mean-variance case. Our empirical results show that static hedging with currency forwards does not lead to improvements in portfolio performance for a US investor that holds a stock portfolio from the G5 countries. On the other hand, hedges that are conditional on the current interest rate spread do lead to significant performance improvements. Also, when an investor has a substantial exogenous exposure to one of the currencies, currency hedging clearly improves his portfolio performance. While these results hold for investors with power utility as well as with mean-variance utility functions, the optimal hedge ratios for these investors are different.
Currency Hedging for International Stock Portfolios
Full text linkThis paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary regression, similar to the Jensen regression, provides a wealth of information about the optimal portfolio holdings for investors for the non mean-variance case. This is analogous to the information provided by the Jensen regression about optimal portfolio holdings for the mean-variance case. Our empirical results show that static hedging with currency forwards does not lead to improvements in portfolio performance for a US investor that holds a stock portfolio from the G5 countries. On the other hand, hedges that are conditional on the current interest rate spread do lead to significant performance improvements. Also, when an investor has a substantial exogenous exposure to one of the currencies, currency hedging clearly improves his portfolio performance. While these results hold for investors with power utility as well as with mean-variance utility functions, the optimal hedge ratios for these investors are different.currency risk;forwards;hedging;international asset pricing;portfolio choice
Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known
Full text linkAt the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known and the marginal distributions are completely unknown, the empirical distribution functions are semiparametrically efficient if and only if the copula is the independence copula. Incorporating the knowledge of the copula into a nonparametric likelihood yields an estimation procedure which by simulations is shown to outperform the empirical distribution functions, the amount of improvement depending on the copula. Although the known-copula model is arguably artificial, it provides an instructive stepping stone to the more general model of a parametrically specified copula and arbitrary margins.independence copula;nonparametric maximum likelihood estimator;score function;semiparametric efficiency;tangent space
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