Publications des institutions partenaires
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
Mitarbeiterbeteiligung
Unter Mitarbeiterbeteiligung ist jede von einem Arbeitgeber gebotene Möglichkeit
zu verstehen, durch welche der Arbeitnehmer zusätzlich zur Entlöhnung Gelegenheit
erhält, sich am Kapital oder am Erfolg des Unternehmens zu beteiligen, unabhängig
davon, ob diese Leistung an Bedingungen geknüpft ist, welche im direkten
Einflussbereich der Arbeitnehmer liegen oder...
Institution partenaire
Deutsch / 01/01/2009
Corporate Governance - einige Gedanken zu den Kantonalbanken
Auf Grund der Erfahrungen aus eigener Verwaltungsratstätigkeit sowie aus einer Fokussierung sowohl in der Forschung wie auch in der Lehre mit Corporate Governance-Fragestellungen werden in diesem Beitrag konkrete Vorschläge und Empfehlungen erarbeitet, um ein ausgewogenes Verhältnis zwischen der staatlichen Verantwortung zum Handeln als Eigentümer (insbesondere bei der Bestellung der...
Institution partenaire
Deutsch / 01/01/2009
Entwicklungen im europäischen Arbeitsrecht: : Zur Neufassung der Richtlinie über Europäische Betriebsräte 2009/38/EG und zu deren Auswirkungen für die schweizer Praxis
Institution partenaire
Deutsch / 01/01/2009
Ungewollte Auskreuzungen und die Schwellenwerts-Debatte im Gentechnikrecht
Institution partenaire
Deutsch / 01/01/2009
Recent case law on the protection of property in the European Convention on Human Rights
Institution partenaire
Deutsch / 01/01/2009
The fractal nature of inequality in a fast growing world
In this paper we investigate wealth inequality/polarization properties related to the support of the limit distribution of wealth in innovative economies characterized by uninsurable individual risk. We work out two simple successive generation examples, one with stochastic human capital accumulation and one with R&D, and prove that intense technological progress makes the...
Institution partenaire
English / 01/01/2009
Konsequenzen für Wirtschaftspolitik und makroökonomische Ausbildung
Institution partenaire
Deutsch / 01/01/2009
Einflussfaktoren auf die Performance von Dach-Hedgefonds
Institution partenaire
/ 01/01/2009
Sequential Causal Models for the Evaluation of Labor Market Programs
This article reviews inverse selection probability weighting to estimate dynamic causal effects. A distribution theory based on sequential generalized method of moments estimation is proposed and the method is applied to a reevaluation of some parts of the Swiss active labor market policy to obtain new results and discuss several issues about the implementation of the estimation...
Institution partenaire
English / 01/01/2009
Sequential Potential Outcome Models to Analyze the Effects of Fertility on Labor Market Outcomes
This paper proposes to use dynamic treatment models to analyze the effects of fertility on labor market interactions. It argues that when large data sets are available the dynamic potential outcome model is an interesting modeling framework because it allows the careful consideration of the selection issues coming from the interaction of fertility and labor market decisions at...
Institution partenaire
English / 01/01/2009
An Empirical Analysis of Multivariate Copula Models
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas which sufficiently capture
the characteristics of financial returns. For this reason...
Institution partenaire
English / 01/01/2009
Core-Satellite Portfoliomanagement : Theorie und empirische Analyse
Institution partenaire
Deutsch / 01/01/2009
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