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Measuring risks in the tail: the extreme VaR and its confidence interval
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224
Persistent link: https://www.econbiz.de/10011925077
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Risk-sensitive infinite-horizon discounted piecewise deterministic Markov decision processes
Huang, Yonghui; Lian, Zhaotong; Guo, Xianping - In: Operational research : an international journal 22 (2022) 5, pp. 5791-5816
Persistent link: https://www.econbiz.de/10013445644
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Multiple-stand forest management under fire risk : analytical characterization of stationary rotation ages and optimal carbon sequestration policy
Dumollard, Gaspard - In: Journal of forest economics : JFE 32 (2018), pp. 146-154
Persistent link: https://www.econbiz.de/10012127458
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Relationship between India VIX and other VIX
Ramasubramanian, H.; Sophia, Sharon - In: International economics & finance journal : (IEFJ) 14 (2019) 2, pp. 101-109
Persistent link: https://www.econbiz.de/10012428924
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Fundamental principles of modeling in macroeconomics
Gil Martín, Samuel - In: Trends in mathematical economics : dialogues between …, (pp. 163-207). 2016
Persistent link: https://www.econbiz.de/10011800701
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Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
El Bouhadi, A.; Ounir, A.; El Maguiri, M. - Volkswirtschaftliche Fakultät, … - 2008
implemented as following: first of all, we will test the normality and the stationarity of 31 shares which have composed our …
Persistent link: https://www.econbiz.de/10008490562
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Allocating resources in an uncertain world : water management and endangered species
Woodward, Richard T.; Shaw, William D. - In: American journal of agricultural economics 90 (2008) 3, pp. 593-605
Persistent link: https://www.econbiz.de/10003727749
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Measuring model risk
Sibbertsen, Philipp (contributor);  … - 2008
Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...
Persistent link: https://www.econbiz.de/10003784020
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Model uncertainty and robustness
In: Journal of economic theory 128 (2006) 1, pp. 1-163
Persistent link: https://www.econbiz.de/10003335319
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Introduction to model uncertainty and robustness
Hansen, Lars Peter; Maenhout, Pascal J.; Rustichini, Aldo; … - In: Journal of economic theory 128 (2006) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10003335321