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Comparison of Covariance-Based and Partial Least Square Structural Equation Modeling Methods under Non-Normal Distribution and Small Sample Size Limitations

Civelek, Mustafa Emre - 2019

This study contains a repetition of the data analysis part of a research conducted on building the trust of generation Y customers in B2C websites. In this base study, since the samples size was a limitation of the study, analyses were conducted again by using CB-SEM and PLS-SEM methods...

Persistent link: https://www.econbiz.de/10012893015

Option implied risk-neutral density estimation : a robust and flexible method

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728

Persistent link: https://www.econbiz.de/10012134345

Are true scores and construct scores the same? : a critical examination of their substitutability and the implications for research results

Schmidt, Frank L.; Le, Huy; Oh, In-sue - In: International journal of selection and assessment 21 (2013) 4, pp. 339-354

Persistent link: https://www.econbiz.de/10010230111

Are True Scores and Construct Scores the Same? A Critical Examination of Their Substitutability and the Implications for Research Results

Schmidt, Frank L.; Le, Huy; Oh, In‐Sue - 2016

assumption that may not hold. We examined the extent to which differences in distribution shape reduce the correlation between … caused this correlation to drop by an average of only .02 across 15 conditions. When both construct and true score … distributions assumed different combinations of non-normal distributions, the average correlation was reduced by .05 across 375 …

Persistent link: https://www.econbiz.de/10014148230

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...

Persistent link: https://www.econbiz.de/10012019121

Dynamic correlation or tail dependence hedging for portfolio selection

Elkamhia, Redouane; Stefanova, Denitsa - 2010

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of … when dynamic conditional correlation has been accounted for, andvice versa. Both effects have distinct portfolio … varying levels of average correlation and tail dependence coefficients. …

Persistent link: https://www.econbiz.de/10011383108