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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …
Persistent link: https://www.econbiz.de/10002638723
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Modellrisiko
Stahl, Gerhard; Sibbertsen, Philipp; Bertram, Philip - 2011
Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...
Persistent link: https://www.econbiz.de/10008909540
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Measurement of aggregate risk with copulas
Junker, Markus; May, Angelika - In: The econometrics journal 8 (2005) 3, pp. 428-454
Persistent link: https://www.econbiz.de/10003209190
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Modeling model uncertainty
Onatski, Alexei (contributor); Williams, Noah (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001697093
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Modeling model uncertainty
Onatski, Alexei; Williams, Noah - 2003
Persistent link: https://www.econbiz.de/10001746748
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Modeling model uncertainty
Onatski, Alexei; Williams, Noah - In: Journal of the European Economic Association 1 (2003) 5, pp. 1089-1122
Persistent link: https://www.econbiz.de/10001824473
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Estimating and forecasting the real prices of crude oil : a data rich model using a dynamic model averaging (DMA) approach
Naser, Hanan - In: Energy economics 56 (2016), pp. 75-87
Persistent link: https://www.econbiz.de/10011663864
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
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Time-Varying Autoregressions with Model Order Uncertainty
Prado, Raquel; Huerta, Gabriel - 2003
-varying autoregressive (TVAR) models that incorporate uncertainty on model order. Our modelling approach assumes that the AR coefficients …
Persistent link: https://www.econbiz.de/10014111317
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Bayesian Model Uncertainty in Smooth Transition Autoregressions
Lopes, Hedibert F.; Salazar, Esther - 2007
length, k, is kept fixed. Then, uncertainty about k is taken into account and a novel reversible jump Markov Chain Monte …
Persistent link: https://www.econbiz.de/10014027339