Narrow search
Showing 1 - 10 of 18,147
Cover Image
The private memory of aggregate uncertainty
Costa, Carlos E. da; Luz, Vitor Farinha - In: Review of economic dynamics 27 (2018), pp. 169-183
Persistent link: https://www.econbiz.de/10012041435
Cover Image
Aggregating disparate estimates of chance
Osherson, Daniel; Vardi, Moshe Y. - In: Games and economic behavior 56 (2006) 1, pp. 148-173
Persistent link: https://www.econbiz.de/10003340014
Cover Image
Model uncertainty and scenario aggregation
Cambou, Mathieu; Filipović, Damir - 2014
This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence …-at-risk and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …
Persistent link: https://www.econbiz.de/10010412678
Cover Image
Model Uncertainty and VaR Aggregation
Embrechts, Paul - 2014
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...
Persistent link: https://www.econbiz.de/10013045618
Cover Image
Minimizing post-shock forecasting error through aggregation of outside information
Lin, Jilei; Eck, Daniel J. - In: International journal of forecasting 37 (2021) 4, pp. 1710-1727
Persistent link: https://www.econbiz.de/10013274333
Cover Image
Exploring the sources of uncertainty : why does bagging for time series forecasting work?
Petropoulos, Fotios; Hyndman, Rob J.; Bergmeir, Christoph - In: European journal of operational research : EJOR 268 (2018) 2, pp. 545-554
Persistent link: https://www.econbiz.de/10011852628
Cover Image
The scale of predictability
Bandi, F. M.; Perron, Benoit; Tamoni, A.; Tebaldi, C. - In: Journal of econometrics 208 (2019) 1, pp. 120-140
Persistent link: https://www.econbiz.de/10012139815
Cover Image
Model uncertainty and scenario aggregation
Cambou, Mathieu; Filipović, Damir - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 534-567
Persistent link: https://www.econbiz.de/10011752528
Cover Image
Subjective bond returns and belief aggregation
Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul - In: The review of financial studies 35 (2022) 8, pp. 3710-3741
Persistent link: https://www.econbiz.de/10013350117
Cover Image
Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828