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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR … linear regression can be reduced to minimizing the Rockafellar error function with linear programming. The theoretical basis …
Persistent link: https://www.econbiz.de/10012025262
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Is there a J-curve for Azerbaijan? : new evidence from industry-level analysis
Bahmani-Oskooee, Mohsen; Huseynov, Salman; Jamilov, Rustam - In: Macroeconomics and finance in emerging market economies 7 (2014) 1, pp. 83-98
Persistent link: https://www.econbiz.de/10010339190
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ICT penetration and economic growth : an empirical analysis of major trading nations
Siddiqui, Areej Aftab; Singh, Parul - In: The Indian economic journal 67 (2019) 3/4, pp. 312-333
Persistent link: https://www.econbiz.de/10012390855
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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Effect of human capital on maize productivity in Ghana: a quantile regression approach
Nyamekye, Isaac; Fiankor, Dela-Dem; Okyere Ntoni, Jonathan - In: International journal of food and agricultural … 4 (2016) 2, pp. 125-135
Persistent link: https://www.econbiz.de/10011558282
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Nexus between cryptocurrencies and global uncertainty : a quantile regression approach
Woode, John Kingsley; Owusu Junior, Peterson; Adam, … - In: Cogent economics & finance 11 (2023) 2, pp. 1-33
quantile regression approach. The OLS model results point to a blend of both significant and insignificant relationship between …
Persistent link: https://www.econbiz.de/10014501018
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Impact assessment of climate change on hailstorm risk in Spanish wine grape crop insurance : insights from linear and quantile regressions
Zhou, Nan; Vilar Zanón, José Luis - In: Risks : open access journal 12 (2024) 2, pp. 1-23
Spanish Actuarial Climate Index (SACI). We attempt to explain the former through the latter using regression and quantile … regression models. Our main finding is that climate change, as measured by the SACI, explains these three dependent variables. We …
Persistent link: https://www.econbiz.de/10014497406
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Absolute risk aversion and the returns to education
Brunello, Giorgio - 2001
Individual absolute risk aversion is measured for a sample of 1373 male household heads, using the 1995 wave of the Survey on the Income and Wealth of Italian households. This measure, conditional on financial and real wealth and household income, is used as an instrument for attained education...
Persistent link: https://www.econbiz.de/10011608791
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Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
in the data can be calculated with local polynomial regression. A change in the sign of the slope can be interpreted as a …
Persistent link: https://www.econbiz.de/10010261265
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Dualism and cross-country growth regressions
Temple, Jonathan; Woessmann, Ludger - 2004
This paper examines whether growth regressions should incorporate dualism and structural change. If there is a differential across sectors in the marginal product of labour, changes in the structure of employment can raise aggregate total factor productivity. The paper develops empirical growth...
Persistent link: https://www.econbiz.de/10010261270