Narrow search
Showing 1 - 10 of 14,400
Cover Image
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108
Persistent link: https://www.econbiz.de/10011712409
Cover Image
Bias correction for estimation of performance measures of a Markovian queue
Almeida, M. A. C.; Cruz, F. R. B.; Oliveira, F. L. P.; … - In: Operational research : an international journal 20 (2020) 2, pp. 943-958
Persistent link: https://www.econbiz.de/10012214727
Cover Image
Risk measure inference
Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512
Persistent link: https://www.econbiz.de/10011893687
Cover Image
Estimating and backtesting risk under heavy tails
Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Cover Image
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi - In: Journal of risk 23 (2020/2021) 2, pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Cover Image
Unbiased estimation of risk
Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Cover Image
Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Global finance journal 37 (2018), pp. 248-261
Persistent link: https://www.econbiz.de/10012125354
Cover Image
Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries
Radivojević, Nikola; Bojić, Borislav; Lakićević, Marija - In: The journal of operational risk 14 (2019) 4, pp. 43-76
Persistent link: https://www.econbiz.de/10012157429
Cover Image
Loss function-based change point detection in risk measures
Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Cover Image
Bias-correction in vector autoregressive models : a simulation study
Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics : open access journal 2 (2014) 1, pp. 45-71
We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non …-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact … identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula …
Persistent link: https://www.econbiz.de/10010336196