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A new methodological approach for error distributions selection Hambuckers, julien ; Heuchenne, Cédric Scientific conference (2013, November) Since 2008 and its ﬁnancial crisis, an increasing attention has been devoted to the selection of an adequate error distribution in risk models, in particular for Value-at-Risk (VaR) predictions. We ... [more ▼] Since 2008 and its ﬁnancial crisis, an increasing attention has been devoted to the selection of an adequate error distribution in risk models, in particular for Value-at-Risk (VaR) predictions. We propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a ﬁrst step, unlike to the traditional approach, we do not use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure: the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspeciﬁcation for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures tests based on the so-obtained residuals. These methods enable to assess the global ﬁt of a given distribution as well as to focus on its behaviour in the tails. Finally, we illustrate our methodology on three time series (UBS stock returns, BOVESPA returns and EUR/USD exchange rates). [less ▲] Detailed reference viewed: 33 (9 ULg)Dynamic Accelerated Failure Time Model with Endogeneity and Heterogeneity: a Control Function approach Tiwari, Amaresh Kumar ; Heuchenne, Cédric Conference (2013, August) We develop a control function method to estimate an Accelerated Failure Time (AFT) model with multiple states, where we account for state dependence, heterogeneity, and endogeneity of covariates. In ... [more ▼] We develop a control function method to estimate an Accelerated Failure Time (AFT) model with multiple states, where we account for state dependence, heterogeneity, and endogeneity of covariates. In accounting for state dependency in the structural AFT model and endogeneity of covariates through control functions, we are faced with predetermined covariates in the first stage treatment choice equation, which is a system of regressions for panel data. A concentrated likelihood method has been proposed to estimate a system of regressions with predetermined covariates. The control functions are based on "expected a posteriori" (EAP) values of the correlated random effects, and unlike alternative control function approaches, our approach allows for general instruments. [less ▲] Detailed reference viewed: 37 (0 ULg)Double-objective Economic Statistical Design of the Adaptive T2 Control Charts Faraz, Alireza ; Heuchenne, Cédric ; et al Conference (2013, July 09) Detailed reference viewed: 30 (4 ULg)Monitoring delivery chains using multivariate control charts Faraz, Alireza ; Heuchenne, Cédric ; et al in European Journal of Operational Research (2013), 228(1), 282289 Delivery chains are concerned with the delivery of goods and services to customers within a specific time interval; this time constraint is added to the usual consumer demand for product or service ... [more ▼] Delivery chains are concerned with the delivery of goods and services to customers within a specific time interval; this time constraint is added to the usual consumer demand for product or service quality. In this context, we address the idea of using process control tools to monitor this key variable of delivery time. In applications, there are usually several production and delivery sites and a variety of different ways to transport, treat and provide goods and services; that makes the problem multivariate in nature. We therefore propose to control the process using multivariate T2 control charts economically designed with the addition of statistical constraints, a design method called economic-statistical design. We illustrate the application in general through an illustrative example. [less ▲] Detailed reference viewed: 145 (31 ULg)Conditional Asset Allocation: Does Market Wide liquidity Matter? Bazgour, Tarik ; Sougné, Danielle ; Heuchenne, Cédric Scientific conference (2013, June) Detailed reference viewed: 38 (18 ULg)New issues for the Goodness-of-fit test of the error distribution : a comparison between Sinh-arscinh and Generalized Hyperbolic distribution Hambuckers, julien ; Heuchenne, Cédric Conference (2013, April 30) In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional ... [more ▼] In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional estimation and model selection procedures (Berk-Jones (1978) tests, Sarno and Valente (2004) hypothesis testing, Diks et al. (2011) weighting method), based on the local volatility estimator of Mercurio and Spokoiny (2004) and the bootstrap methodology to compare the fit performances of candidate density functions. In particular, we introduce the sinh-arcsinh distributions (Jones and Pewsey, 2009) and we show that this family of density functions provides better bootstrap IMSE and better weighted Kullback-Leibler distances. [less ▲] Detailed reference viewed: 54 (22 ULg)New issues for the Goodness-of-fit test of the error distribution : a comparison between Sinh-arcsinh and Generalized Hyperbolic distributions Hambuckers, julien ; Heuchenne, Cédric Conference (2013, April 19) In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional ... [more ▼] In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional estimation and model selection procedures (Berk-Jones (1978) tests, Sarno and Valente (2004) hypothesis testing, Diks et al. (2011) weighting method), based on the local volatility estimator of Mercurio and Spokoiny (2004) and the bootstrap methodology to compare the fit performances of candidate density functions. In particular, we introduce the sinh-arcsinh distributions (Jones and Pewsey, 2009) and we show that this family of density functions provides better bootstrap IMSE and better weighted Kullback-Leibler distances. [less ▲] Detailed reference viewed: 31 (13 ULg)Conditional Asset Allocation: Does Market Wide liquidity Matter? Bazgour, Tarik ; Sougné, Danielle ; Heuchenne, Cédric Scientific conference (2013, April 17) Detailed reference viewed: 30 (15 ULg)Conditional Asset Allocation: Does Market Wide liquidity Matter? Bazgour, Tarik ; Sougné, Danielle ; Heuchenne, Cédric Scientific conference (2013, March 07) Detailed reference viewed: 36 (14 ULg)Estimation from cross-sectional data under a semiparametric truncation model ; Heuchenne, Cédric ; Laurent, Géraldine E-print/Working paper (2013) Cross-sectional sampling is often used when investigating inter-event times, resulting in left-truncated and right-censored data. In this paper we consider a semiparametric truncation model in which the ... [more ▼] Cross-sectional sampling is often used when investigating inter-event times, resulting in left-truncated and right-censored data. In this paper we consider a semiparametric truncation model in which the truncating variable is assumed to belong to a certain parametric family, while nothing is assumed on lifetime and censoring distributions. The novelty of this work is in the fact that it introduces estimators of this semiparametric model in the presence of censoring. Two alternative methods are considered, based on conditional and full likelihood considerations. Asymptotic representations of the estimators for the lifetime distribution are obtained, and their weak convergence is established. The finite sample performance of the new estimators is explored through simulations, and two real data illustrations are provided. One of the conclusions of our research is that both estimators perform better than Wang's NPMLE when the parametric family for the truncation variable is valid) in the sense of the integrated mean squared error, and that the full likelihood approach is preferable to the conditional likelihood approach for the estimation of the lifetime distribution but not necessarily for the estimation of the truncation distribution. [less ▲] Detailed reference viewed: 28 (3 ULg)Dynamic accelerated failure time model with endogeneity and heterogeneity: a control function appoach Tiwari, Amaresh Kumar ; Heuchenne, Cédric E-print/Working paper (2013) Detailed reference viewed: 40 (3 ULg)Penalized Pro led Semiparametric Estimating Functions ; ; Heuchenne, Cédric et al in Electronic Journal of Statistics (2013), 7 Detailed reference viewed: 16 (2 ULg)Nonparametric regression with right-censored and generalized selection biased data Heuchenne, Cédric ; Laurent, Géraldine Conference (2012, December 02) Detailed reference viewed: 33 (6 ULg)Optimal T2 control chart with double sampling scheme - an alternative to the MEWMA chart Faraz, Alireza ; Heuchenne, Cédric ; in Quality and Reliability Engineering International (2012), 28(7), 751-760 Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the ... [more ▼] Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the literature yet. In this paper, the economic statistical design of the DS T2 control chart is designed to address this issue. In this regard, upon the Lorenzen and Vance (1986)’s economic model, the problem is formulized and then the cost function is minimized using the genetic algorithm search method to obtain the optimal design parameters. Besides, we assumed that the length of the time that process remains in control is exponentially distributed. Through an illustrative example we show that by applying the proposed method relatively large benefits can be achieved in a comparison with the classical T2 and the statistical DS T2 charts. Furthermore the performance of the ESD DS T2 charts is compared to the MEWMA and other variable ratio sampling (VRS) T2 control charts in the literature. [less ▲] Detailed reference viewed: 84 (23 ULg)Error distribution estimation in nonparametric regression with right censored selection biased data Laurent, Géraldine ; Heuchenne, Cédric Conference (2012, October 25) In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and ... [more ▼] In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and sigma²(X) =Var[Y|X] are unknown smooth functions. The problem is to estimate the cumulative distribution function of the error in a nonparametric way when the couple (X;Y) is subject to generalized bias selection while the positive response Y can be right-censored. We propose a new estimator for the error distribution function. Asymptotic properties of the proposed estimator are established, namely the rate of convergence and the limiting distribution. A bootstrap procedure is developed to solve the critical problem of the smoothing parameter choice. The performance of the proposed estimator is investigated through simulations. Finally, a data set based on the mortality of diabetics is analyzed. [less ▲] Detailed reference viewed: 16 (1 ULg)Conditional asset allocation: Does Market-Wide Liquidity Matter? Bazgour, Tarik ; Sougné, Danielle ; Heuchenne, Cédric E-print/Working paper (2012) This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a ... [more ▼] This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a single-period investor with a relative risk aversion of 5, and use the nonparametric approach of Brandt (1999) to directly express optimal portfolio weights as functions of market-wide liquidity innovations. We find, first, that the effect of market-wide liquidity is a decreasing function of investment horizon. Second, this effect is stronger in allocations in the small stock portfolio and gets weaker as we move towards the large stock portfolio. Third, conditional allocations in risky asset(s) decrease and exhibit shifts towards more liquid and less risky assets as market-wide liquidity worsens. Overall, our results show that allocations based on market-wide liquidity as a signal capture many phenomena that have been identified by researchers in the US market, such as the so-called “flight-to-safety”, flight-to-quality” and “flight-to-liquidity” episodes. Furthermore, in an out-of-sample test, results demonstrate the superior performance of a strategy based on market-wide liquidity compared to a benchmark strategy. [less ▲] Detailed reference viewed: 61 (13 ULg)Conditional Asset Allocation: Does Market-Wide Liquidity Matter? Sougné, Danielle ; Heuchenne, Cédric ; Bazgour, Tarik Conference (2012, September 19) Detailed reference viewed: 54 (13 ULg)Error distribution function for parametrically truncated and censored data Laurent, Géraldine ; Heuchenne, Cédric Conference (2012, September 14) Detailed reference viewed: 19 (5 ULg)Asymptotic properties of the error distribution estimation in right censored and selection biased regression models Laurent, Géraldine ; Heuchenne, Cédric Conference (2012, June 16) Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with ... [more ▼] Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with unknown distribution, is independent of the covariate X. The pair (X,Y) is subject to generalized bias selection and the response Y to right censoring. We define a new estimator for the cumulative distribution function of the error epsilon, where the estimators of m(.) and sigma^2(.) are obtained by extending the conditional estimation methods introduced in de Uña-Alvarez and Iglesias-Perez (2010). The asymptotic properties of the proposed estimator are established. A bootstrap technique is proposed to select the smoothing parameter involved in the procedure. Finally, this method is studied via extended simulations and applied to real data. [less ▲] Detailed reference viewed: 27 (7 ULg)Some Applications of Mathematical Statistics in Management Heuchenne, Cédric Scientific conference (2012, March) Detailed reference viewed: 51 (1 ULg) |
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