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Choosing among regularized estimators in empirical economics : the risk of machine learning
Abadie, Alberto; Kasy, Maximilian - In: The review of economics and statistics 101 (2019) 5, pp. 743-762
Persistent link: https://www.econbiz.de/10012208803
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Testing different stochastic specifications of risky choice
Loomes, Graham; Sugden, Robert - In: Economica 65 (1998), pp. 581-598
Persistent link: https://www.econbiz.de/10001443386
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Bootstrapped insights into empirical applications of stochastic dominance
Nelson, Ray D. - In: Management science : journal of the Institute for … 37 (1991) 9, pp. 1182-1194
Persistent link: https://www.econbiz.de/10001112398
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The empirical minimum-variance hedge
Lence, Sergio H. - In: American journal of agricultural economics 76 (1994) 1, pp. 94-104
Persistent link: https://www.econbiz.de/10001165895
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Econometric estimation of risk attitudes
Tabatabai, Nahid - 1991
Persistent link: https://www.econbiz.de/10000851178
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Experience-based decisions favor riskier alternatives in large sets
Noguchi, Takao; Hills, Thomas T. - In: Journal of behavioral decision making 29 (2016) 5, pp. 489-498
Persistent link: https://www.econbiz.de/10011632044
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Estimation in a competing risks proportional hazards model under lenght-biased sampling with censoring
Dauxois, Jean-Yves; Guilloux, Agathe; Kirmani, Syed N. U. A. - 2004
Persistent link: https://www.econbiz.de/10002115737
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Using stratified sampling methods to improve percentile estimates in the context of risk measurement
Hereford, Neil; Shuetrim, Geoffrey - In: Operational risk modelling and analysis : theory and …, (pp. 247-271). 2004
Persistent link: https://www.econbiz.de/10002770680
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Estimating Low Sampling Frequency Risk Measure by High-Frequency Data
Wesselhöfft, Niels - 2020
Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...
Persistent link: https://www.econbiz.de/10012827639
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327