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Uncertainty in Systemic Risks Rankings : Bayesian and Frequentist Analysis
Goldman, Elena - 2023
In this paper we propose efficient Bayesian Hamiltonian Monte Carlo method for estimation of systemic risk measures …
Persistent link: https://www.econbiz.de/10014355991
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Uncertainty in Systemic Risks Rankings : Bayesian and Frequentist Analysis
Goldman, Elena - 2023
We propose efficient Bayesian Hamiltonian Monte Carlo method for estimation of systemic risk measures, LRMES, SRISK and … computation of LRMES and SRISK, and are more stable with Bayesian posterior distributions using a parametric model. A policymaker …
Persistent link: https://www.econbiz.de/10014256984
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Payout yield, risk, and mispricing : a Bayesian analysis
Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152
Persistent link: https://www.econbiz.de/10009622431
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The quantification and aggregation of model risk : perspectives on potential approaches
Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 124-154
Persistent link: https://www.econbiz.de/10011527495
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Measuring short-term risk of initial public offering of equity securities : a hybrid Bayesian and Data-Envelopment-Analysis-based approach
Sorkhi, Shabnam; Paradi, Joseph C. - In: Data envelopment analysis, 40 years on : a special issue, (pp. 733-753). 2020
Persistent link: https://www.econbiz.de/10012232816
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Reputation risk contagion
Mitic, Peter - In: The journal of network theory in finance 3 (2017) 1, pp. 53-86
Persistent link: https://www.econbiz.de/10011668583
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Production under input endogeneity and farm-specific risk aversion : evidence from contract farming and Bayesian method
Mishra, Ashok K.; Rezitis, Anthony N.; Tsionas, Efthymios G. - In: European review of agricultural economics 47 (2020) 2, pp. 591-618
Persistent link: https://www.econbiz.de/10012181767
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Uncertainty in the Black-Litterman model : a practical note
Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
)), a derivation of the Bayesian methods developed in academia, has particular practical appeal for institutional investors …
Persistent link: https://www.econbiz.de/10012042184
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Forecasting uncertainty intervals for return period of extreme daily electricity consumption
Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225
Persistent link: https://www.econbiz.de/10013366091
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Uncertainty and robustness in composite indices rankings
Permanyer, Iñaki - In: Oxford economic papers 64 (2012) 1, pp. 57-79
Persistent link: https://www.econbiz.de/10009488234