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Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration

Bayer, Patrick; Arcidiacono, Peter; Bugni, Federico A.; … - National Bureau of Economic Research (NBER) - 2012

Many dynamic problems in economics are characterized by large state spaces which make both computing and estimating the model infeasible. We introduce a method for approximating the value function of high-dimensional dynamic models based on sieves and establish results for the: (a) consistency,...

Persistent link: https://www.econbiz.de/10009652758

Copula based hierarchical risk aggregation through sample reordering

Arbenz, Philipp; Hummel, Christoph; Mainik, Georg - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 122-133

step in the hierarchy. Copulas and margins of arbitrary kind can be combined. We give an algorithm for numerical …

Persistent link: https://www.econbiz.de/10010576722

Modeling spot price dependence in Australian electricity markets with applications to risk management

Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433

Persistent link: https://www.econbiz.de/10011429137

Idiosyncratic risks, bailout, and financial crisis : a copula approach

Wang, Daphne; Nguyen Khoa Huu - In: Global business and finance review 20 (2015) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10011434259

Industry co-movements of American depository receipts : evidences from the copula approaches

Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314

Persistent link: https://www.econbiz.de/10011436620

Optimal product bundling with dependent valuations : the price of independence

Banciu, Mihai; Ødegaard, F. - In: European journal of operational research : EJOR 255 (2016) 2, pp. 481-495

Persistent link: https://www.econbiz.de/10011532138

An analysis of dependence between Central and Eastern European stock markets

Reboredo, Juan Carlos; Tiwari, Aviral Kumar; Albulescu, … - In: Economic systems 39 (2015) 3, pp. 474-490

Persistent link: https://www.econbiz.de/10011532315

Is there dependence and systemic risk between oil and renewable energy stock prices?

Reboredo, Juan Carlos - In: Energy economics 48 (2015), pp. 32-45

Persistent link: https://www.econbiz.de/10011533695

Frontiers in time series and financial econometrics: An overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250

Persistent link: https://www.econbiz.de/10011503737

Evidence on copula-based double-hurdle models with flexible margins

Schwiebert, Jörg - In: Empirical economics : a journal of the Institute for … 51 (2016) 1, pp. 245-289

Persistent link: https://www.econbiz.de/10011516004

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