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Methods to determine capital requirements for options
Vlaar, Peter J. G. - In: Quarterly review / Banca Nazionale del Lavoro, Roma 49 (1996) 198, pp. 351-373
Persistent link: https://www.econbiz.de/10001209977
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Innovations in testing the stability of risk measures over time and across models
Vlaar, Peter J. G. - 2002
Persistent link: https://www.econbiz.de/10001687897
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On the influence of capital requirements on competition and risk taking in banking
Vlaar, Peter J. G. - 2003
Persistent link: https://www.econbiz.de/10001790184
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Value-at risk analysis of stock returns historical simulation, variance techniques or tail index estimation?
Goorbergh, Rob Willem Jean van den; Vlaar, Peter J. G. - 1999
Persistent link: https://www.econbiz.de/10001395753
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Robust estimation of wage dispersion with censored data : an application to occupational earnings risk and risk attitudes
Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - 2012
We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...
Persistent link: https://www.econbiz.de/10009534948
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Robust estimation of wage dispersion with censored data : an application to occupational earnings risk and risk attitudes
Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - 2013
We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...
Persistent link: https://www.econbiz.de/10009775634
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Robust estimation of wage dispersion with censored data : an application to occupational earnings risk and risk attitudes
Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - In: De economist : quarterly review of the Royal … 168 (2020) 4, pp. 519-540
Persistent link: https://www.econbiz.de/10012308783
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Robust estimation of wage dispersion with censored data: an application to occupational earnings risk and risk attitudes
Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - 2020
We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...
Persistent link: https://www.econbiz.de/10012293101