Til Schuermann - Academia.edu (original) (raw)
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Papers by Til Schuermann
Social Science Research Network, 2004
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Social Science Research Network, 2005
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The Journal of Risk Management, Mar 1, 2021
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World Scientific Studies in International Economics, Nov 4, 2015
The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel... more The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel Risk Management Today …and Going ForwardReferences
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Social Science Research Network, 2005
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Handbook of Financial Stress Testing
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The Journal of Risk Management, 2016
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Abstract: The possibility of exact maximum likelihood estimation of many observation-driven model... more Abstract: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We fmd that, especially in situations of small samples and high persistence, efficiency gains are obtained. Acknowledgments: This is a revised and extended version of our earlier paper,
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The Journal of Risk Management, 2019
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Encyclopedia of Quantitative Finance, 2010
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Social Science Research Network, 2005
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Journal of Business & Economic Statistics, Apr 1, 2004
... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (V... more ... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (VECMs), where such domes-tic macroeconomic variables as gross domestic product (GDP), the general price level, the level of short-term interest rate, ex-change rate, equity prices (when ...
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Cambridge University Press eBooks, Jul 20, 2000
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University of Chicago Press eBooks, 2007
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RePEc: Research Papers in Economics, Jun 1, 2003
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RePEc: Research Papers in Economics, 2008
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Social Science Research Network, 2005
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Fourteen Points for the Twenty-First Century, 2020
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Social Science Research Network, 2004
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Social Science Research Network, 2005
Bookmarks Related papers MentionsView impact
The Journal of Risk Management, Mar 1, 2021
Bookmarks Related papers MentionsView impact
World Scientific Studies in International Economics, Nov 4, 2015
The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel... more The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel Risk Management Today …and Going ForwardReferences
Bookmarks Related papers MentionsView impact
Social Science Research Network, 2005
Bookmarks Related papers MentionsView impact
Handbook of Financial Stress Testing
Bookmarks Related papers MentionsView impact
The Journal of Risk Management, 2016
Bookmarks Related papers MentionsView impact
Abstract: The possibility of exact maximum likelihood estimation of many observation-driven model... more Abstract: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We fmd that, especially in situations of small samples and high persistence, efficiency gains are obtained. Acknowledgments: This is a revised and extended version of our earlier paper,
Bookmarks Related papers MentionsView impact
The Journal of Risk Management, 2019
Bookmarks Related papers MentionsView impact
Encyclopedia of Quantitative Finance, 2010
Bookmarks Related papers MentionsView impact
Social Science Research Network, 2005
Bookmarks Related papers MentionsView impact
Journal of Business & Economic Statistics, Apr 1, 2004
... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (V... more ... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (VECMs), where such domes-tic macroeconomic variables as gross domestic product (GDP), the general price level, the level of short-term interest rate, ex-change rate, equity prices (when ...
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Cambridge University Press eBooks, Jul 20, 2000
Bookmarks Related papers MentionsView impact
University of Chicago Press eBooks, 2007
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, Jun 1, 2003
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, 2008
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Social Science Research Network, 2005
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Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Fourteen Points for the Twenty-First Century, 2020
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