Narrow search
Showing 1 - 10 of 5,033
Cover Image
Distributional regression for skew, mixed discrete-continuous and multinomial responses
Michaelis, Patrick - 2017
Persistent link: https://www.econbiz.de/10011899519
Cover Image
Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
Cover Image
Dynamic mixture models for financial time series
Haas, Markus - 2004 - 1. Aufl.
Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...
Persistent link: https://www.econbiz.de/10002452594
Cover Image
A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review
Wirjanto, Tony S. - 2013
) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes … econometrics …
Persistent link: https://www.econbiz.de/10013084062
Cover Image
On copula density estimation and measures of multivariate association
Blumentritt, Thomas - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360906
Cover Image
Statistical tools for finance and insurance
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005
CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners …-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial …
Persistent link: https://www.econbiz.de/10002123307
Cover Image
Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
Cover Image
Tail Forecasting with Multivariate Bayesian Additive Regression Trees
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021
We develop novel multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors. The variance of the errors can be stable, driven by stochastic volatility (SV), or follow a...
Persistent link: https://www.econbiz.de/10013238045
Cover Image
Applications of agent-based models and nonlinear econometrics in finance
Demary, Markus - 2010
This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...
Persistent link: https://www.econbiz.de/10008664302
Cover Image
Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns
Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006
Persistent link: https://www.econbiz.de/10003287150