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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 - In: The review of economic studies 84 (2017) 3, pp. 1238-1263
Persistent link: https://www.econbiz.de/10011920048
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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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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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Modeling financial sector joint tail risk in the euro area
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015
Persistent link: https://www.econbiz.de/10011349820
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Modeling financial sector joint tail risk in the euro area
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015
We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...
Persistent link: https://www.econbiz.de/10011332950
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Asymmetry in the conditional distribution of euro-area inflation
Tagliabracci, Alex - 2020
Persistent link: https://www.econbiz.de/10012204734