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APPLICATION OF STATISTICAL METHODS IN RISK AND RELIABILITY

Heard, Astrid - 2006

The dissertation considers construction of confidence intervals for a cumulative distribution function F(z) and its inverse at some fixed points z and u on the basis of an i.i.d. sample where the sample size is relatively small. The sample is modeled as having the flexible Generalized Gamma...

Persistent link: https://www.econbiz.de/10009431082

Encoding Expert Opinion on Skewed Non-Negative Distributions

Low Choy, Samantha J.; Mengersen, Kerrie L.; Rousseau, … - 2008

Often only limited information can be elicited from experts about a distribution, such as quantiles or other summary …

Persistent link: https://www.econbiz.de/10009483564

Marginal quantiles for stationary processes

Dominicy, Yves; Hörmann, Siegfried; Ogata, Hiroaki; … - 2012

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S …

Persistent link: https://www.econbiz.de/10012530391

Real earnings and business cycles: new evidence

Hart, Robert A.; Malley, James R.; Woitek, Ulrich - 2009

In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and strengths. This may serve to produce a distorted picture of wage cyclicality. Here, we deploy frequency domain methods that allow us to asses...

Persistent link: https://www.econbiz.de/10009465957

Unemployment development in municipalities of the micro-region of Strakonice

Čermáková, Anna - 2012

In the period of 2002–2006, observations of the unemployment development in municipalities situated in less favourable areas (hereafter LFA) of the micro-region of Strakonice and in other municipalities of the microregion outside of the LFA. The aim of the observations was to determine whether...

Persistent link: https://www.econbiz.de/10011315944

Analyzing Relationships Between Cash and Futures Dairy Markets Using Partially Overlapping Time Series

Bozic, Marin; Fortenbery, T. Randall - 2010

Replaced with revised version of paper 02/10/10.

Persistent link: https://www.econbiz.de/10009446530

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional …

Persistent link: https://www.econbiz.de/10009430120

Expansion methods applied to distributions and risk measurement in financial markets

Marumo, Kohei - 2007

Obtaining the distribution of the profit and loss (PL) of a portfolio is a key problem in market risk measurement. However, existing methods, such as those based on the Normal distribution, and historical simulation methods, which use empirical distribution of risk factors, face difficulties in...

Persistent link: https://www.econbiz.de/10009437795

Pricing multi-asset options with levy copulas

Dushimimana, Jean Claude - 2011

[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … op meervoudige bates.Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levycopulas laat toe … van meerveranderlike Levy prosessemet behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige …

Persistent link: https://www.econbiz.de/10009442040

Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation

Neier, Mark - 2009

is based on the correlations between the obligors using copulas. Using this probability of default, the price of a … can be observed how a downturn in the economy could affect CDOs. This thesis extends on the use of copulas to simulate the … correlation between obligors. Copulas allow for the creation of one joint distribution using a set of independent distributions …

Persistent link: https://www.econbiz.de/10009464055