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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012429187
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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antonio; Paula, Áureo de - 2015 - This version: September, 2015
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological … actual estimation using data from the 1999 European Parliament elections. …
Persistent link: https://www.econbiz.de/10011317976
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antoine; Paula, Áureo de - 2013
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological … actual estimation using data from the 1999 European Parliament elections. …
Persistent link: https://www.econbiz.de/10010189045
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antonio; Paula, Áureo de - In: The review of economic studies 84 (2017) 3, pp. 1238-1263
Persistent link: https://www.econbiz.de/10011920048
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Implizite Ausfallwahrscheinlichkeiten von Unternehmensanleihen : Eine empirische Analyse in unterschiedlichen Währungen auf Basis von Zinsstrukturkurven
Schiffel, Simon - 2009
Charakterisierung von Unternehmensanleihen -- Konzeption der empirischen Untersuchung und Datenaufbereitung -- Empirische Methodik: Bestimmung von impliziten Ausfallwahrscheinlichkeiten aus Zinsstrukturkurven -- Empirische Untersuchung: Analyse der impliziten Ausfallwahrscheinlichkeiten --...
Persistent link: https://www.econbiz.de/10014015026
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …
Persistent link: https://www.econbiz.de/10003727608
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Worst-case VaR and CVaR
Čerbáková, Jana - In: Operations research proceedings 2005 : selected papers …, (pp. 817-822). 2006
Persistent link: https://www.econbiz.de/10003347829
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003491106