Showing 1 - 10 of 39
Computational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, history, some specialties, and the future scope of this journal.
Persistent link: https://www.econbiz.de/10010281549
Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...
Persistent link: https://www.econbiz.de/10010263632
real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in …
Persistent link: https://www.econbiz.de/10010274131
In this study a framework for an online database-driven repository of information - QuantNet - is presented. QuantNet is aimed at easing the process of web publishing for those who are unfamiliar with technical details and markup languages. At the same time advanced users are provided with easy...
Persistent link: https://www.econbiz.de/10010274133
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10010274279
perturbations at first, second, and third order in a unified notation compatible with the popular software package Dynare. While our …
Persistent link: https://www.econbiz.de/10010318747
Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...
Persistent link: https://www.econbiz.de/10010318756
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in...
Persistent link: https://www.econbiz.de/10010318776
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10010318787
Persistent link: https://www.econbiz.de/10010263705