701 research outputs found
Value at Risk models with long memory features and their economic performance
We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms
Robustness and Generalization
We derive generalization bounds for learning algorithms based on their
robustness: the property that if a testing sample is "similar" to a training
sample, then the testing error is close to the training error. This provides a
novel approach, different from the complexity or stability arguments, to study
generalization of learning algorithms. We further show that a weak notion of
robustness is both sufficient and necessary for generalizability, which implies
that robustness is a fundamental property for learning algorithms to work
Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach
Business experience and start-up size: buying more lottery tickets next time around?
This paper explores the determinants of start-up size by focusing on a cohort of 6247 businesses that started trading in 2004, using a unique dataset on customer records at Barclays Bank. Quantile regressions show that prior business experience is significantly related with start-up size, as are a number of other variables such as age, education and bank account activity. Quantile treatment effects (QTE) estimates show similar results, with the effect of business experience on (log) start-up size being roughly constant across the quantiles. Prior personal business experience leads to an increase in expected start-up size of about 50%. Instrumental variable QTE estimates are even higher, although there are concerns about the validity of the instrument
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
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