学校概况

x

友情链接

学校概况 / 科学研究 / 讲座会议预告 / 数量经济与金融系列讲座 / 正文

数量经济与金融系列讲座410期:Testing for Neglected Nonlinearity in the Conditional Quantile Using Neural Networks

  发布日期:2019-12-24  浏览次数:

学校概况主题:Testing for Neglected Nonlinearity in the Conditional Quantile Using Neural Networks

主讲:Georg Keilbar,School of Business and Economics,Humboldt-Universität zu Berlin

时间:2020年1月9日 10:00-11:30

地点:复旦大学经济学院714会议室

学校概况摘要:We propose a specifification test for the conditional quantile by comparing a linearmodel to an alternative model represented by a neural network. The test is formulatedas a testing problem with nuisance parameters under the alternative. We considerthree test statistics, theaverage, theexponential-averageand thesupremum Waldstatistic as functions of a Wald process and derive their asymptotic distribution. Tosimulate critical values, we propose a consistent bootstrap procedure. Further, weshow the asymptotic optimality of theaverageandexponential-average Waldtestagainst local alternatives in a correctly specifified maximum likelihood setting. In anempirical application, we examine the nonlinearity of systemic risk in the frameworkof conditional value-at-risk (CoVaR).

返回顶部
幸运赛车 |学校概况 广发娱乐|学校概况 521彩票 天游彩票代理 乐游彩票网-学校概况 天游彩票登陆 - 学校概况 66顺注册 1号店彩票网|1号店彩票登录地址—欢迎您 1号彩票-学校概况 天津快乐10