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Global convergence of a robus filter SQP algorithm

Shen, Chungen; Xue, Wenjuan; Chen, Xiongda - In: European journal of operational research : EJOR 206 (2010) 1, pp. 34-45

Persistent link: https://www.econbiz.de/10003968276

Algorithmic trading in the foreign exchange market

Bergsten, Maria; Sandahl, Johannes Forss - In: Sveriges Riksbank economic review (2013) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10012168713

Estimating classification uncertainty of Bayesian decision tree technique on financial data

Schetinin, Vitaly; Fieldsend, Jonathan E.; Partridge, Derek - In: Perception-based data mining and decision making in …, (pp. 155-179). 2007

Persistent link: https://www.econbiz.de/10003577410

Jointness of growth determinants

Doppelhofer, Gernot (contributor); Weeks, Melvyn (contributor) - 2007

Persistent link: https://www.econbiz.de/10003497528

Bayesian inference for hedge funds with stable, distribution of returns

Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010

Bayesian methods to hedge fund evaluation. Little or no academic attention has been paid to the combination of these two topics …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

Persistent link: https://www.econbiz.de/10008653564

Default probability estimation in small samples : with an application to sovereign bonds

Orth, Walter - 2011 - First draft: September 28, 2011

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...