Publications des institutions partenaires
Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called “soft dollars,” which basically are amounts spent in “research” for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD 10 paid in commissions. Obviously they are costly, and it is interesting for an institutional investor to...
Institution partenaire
English / 01/01/2009
One Sided Cross Validation for Density Estimation
Institution partenaire
English / 01/01/2009
A robust coefficient of determination for Regression
To assess the quality of the fit in a multiple linear regression, the coefficient of determination or R2 is a very simple tool, yet the most used by statistics users. It is well known that the classical (least-squares) fit and coefficient of determination can be arbitrary misleading in the presence of a single outlier. In many applied setting, the assumption of normality of the error...
Institution partenaire
English / 01/01/2009
Robust estimation of constrained covariance matrices for Confirmatory Factor Analysis
Confirmatory factor analysis (CFA) is a data analysis procedure that is widely used in social and behavioral sciences in general and other applied sciences that deal with large quantities of data (variables). The underlying model links a set latent factors, that are supposed to correspond to latent concepts, to a larger set of observed (manifest) variables through linear regression...
Institution partenaire
English / 01/01/2009
Zero-inflated Truncated Generalized Pareto Distribution for the Analysis of Radio Audience Data
Extreme value data with a high clump-at-zero occur in many domains. Moreover, it might happen that the observed data are either truncated below a given threshold and/or might not be reliable enough below that threshold because of the recording devices. This situations occurs in particular with radio audience data measured using personal meters that record environmental noise every...
Institution partenaire
English / 01/01/2009
Higher-order robustness
The higher–order robustness for M–estimators is introduced and defined. The conditions needed to ensure higher stability of the asymptotic bias are provided by refining the Von Mises bias expansion. Admissible M–estimators featuring second–order robustness are thus introduced. Then, a saddle-point argument is applied in order to approximate the finite sample distribution of second–...
Institution partenaire
English / 01/01/2009
Options pricing with realized volatility
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by a simple but effective (pseudo) long memory process, the Heterogeneous Auto-Regressive Gamma with Leverage (HARGL) process. Both the...
Institution partenaire
English / 01/01/2009
A fully parametric approach to minimum power-divergence estimation
We approach parameter estimation based on power-divergence using Havrda-Charvat generalized entropy. Unlike other robust estimators relying on divergence measures, the procedure is fully parametric and avoids complications related to bandwidth selection. Hence, it allows for the treatment of multivariate distributions. The parameter estimator is indexed by a single constant q,...
Institution partenaire
English / 01/01/2009
The PsyCoLaus study: methodology and characteristics of the sample of a population-based survey on psychiatric disorders and their association with genetic and cardiovascular risk factors
Background The Psychiatric arm of the population-based CoLaus study (PsyCoLaus) is designed to: 1) establish the prevalence of threshold and subthreshold psychiatric syndromes in the 35 to 66 year-old population of the city of Lausanne (Switzerland); 2) test the validity of postulated definitions for subthreshold mood and anxiety syndromes; 3) determine the associations between...
Institution partenaire
English / 01/01/2009
Precio de la tierra con presion urbana: Un modelo para Espana
Institution partenaire
Espagnol / 01/01/2008
Impact de la retraite anticipée sur les cotisations et les prestations de l’AVS
Institution partenaire
Français / 01/01/2008
Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions
We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts defined by the local property tax assessment office as well as a classification of census tracts...
Institution partenaire
English / 01/01/2008
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "soft dollars" which basically are amounts spent in "research" for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD 10 paid in commissions. Obviously they are costly, and it is interesting for an...
Institution partenaire
English / 01/01/2008
DEVA+ (Dynamic Expectation Variance Analysis), Product Description
The existence of changing correlation structures needs to be taken into account when modelling an asset allocation situation. DEVA + (Dynamic Expectation Variance Analysis) is a multiperiod stochastic optimization approach to identify the optimal tactic and strategic asset allocation. The identified allocation strategies are efficient in a multiperiod context, i.e...
Institution partenaire
English / 01/01/2008
Valuation and Bidding of Hydro Power Plants in the EEX
Institution partenaire
English / 27/08/2007
Regime Switching based Portfolio Selection for Pension Funds
This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well...
Institution partenaire
English / 01/08/2007
Robust Stochastic Dominance: A Semi-Parametric Approach
Lorenz curves and second-order dominance criteria, the fundamental tools for stochastic dominance, are known to be sensitive to data contamination in the tails of the distribution. We propose two ways of dealing with the problem: (1) Estimate Lorenz curves using parametric models and (2) combine empirical estimation with a parametric (robust) estimation of the upper tail of the...
Institution partenaire
English / 01/01/2007
Spatial Dependence, Housing Submarkets and House Price Prediction
This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context. Explicit modeling of the error structure is characterized as a relatively fluid approach to defining housing submarkets. This approach allows the relevant submarket to vary from house to house and for transactions involving other dwellings in each submarket...
Institution partenaire
English / 01/01/2007
De-Biasing Weighted MLE via Indirect Inference: The Case of Generalized Linear Latent Variable Models
In this paper we study bias-corrections to the weighted MLE (Dupuis and Morgenthaler, 2002), a robust estimator simply defined through a weighted score function. Indeed, although the WMLE is relatively simple to compute, for most models it is not consistent and hence not very helpful. For example, the model we consider in this paper is the generalized linear latent variable model (...
Institution partenaire
English / 01/01/2007
Modelling Lorenz Curves: Robust and Semi-Parametric Issues
Modelling Lorenz curves (LC) for stochastic dominance comparisons is central to the analysis of income distribution. It is conventional to use non-parametric statistics based on empirical income cumulants which are in the construction of LC and other related second-order dominance criteria. However, although attractive because of its simplicity and its apparent flexibility, this...
Institution partenaire
English / 01/01/2007
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