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On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Chen, James Ming - In: Risks 6 (2018) 2, pp. 1-28
reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …
Persistent link: https://www.econbiz.de/10011996619
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …
Persistent link: https://www.econbiz.de/10011867427
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Dependence uncertainty bounds for the expectile of a portfolio
Jakobsons, Edgars; Vanduffel, Steven - In: Risks 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011709542
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Dependence uncertainty bounds for the expectile of a portfolio
Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011402861
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The knowledge-base evolution in biotechnology: a social network analysis
Krafft, Jackie; Quatraro, Francesco; Saviotti, Pier Paolo - In: Economics of Innovation and New Technology 20 (2011) 5, pp. 445-475
This paper applies the methodological tools typical of social network analysis (SNA) within an evolutionary framework, to investigate the knowledge-base (KB) dynamics of the biotechnology sector. Knowledge is here considered a collective good represented as a co-relational and a...
Persistent link: https://www.econbiz.de/10009200595
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Productivity and Heterogeneous Knowledge: Exploring the Relationship in a Sample of Drug Developers
Bottazzi, Giulio; Plotnikova, Tatiana - Wirtschaftswissenschaftliche Fakultät, … - 2010
coherence vs. market coherence and of accumulated knowledge on the productivity of firms differs. Productivity increases with … the number of patents and decreases with the patent diversity and project portfolio coherence. When considering only the …
Persistent link: https://www.econbiz.de/10008511333
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Joint Coherence in Games of Incomplete Information
Nau, Robert F. - In: Management Science 38 (1992) 3, pp. 374-387
coherence (no arbitrage opportunities, a.k.a. "Dutch books"). However, the Nash property of statistical independence between …
Persistent link: https://www.econbiz.de/10009203747
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MODELING BELIEF CHANGE IN A POPULATION USING EXPLANATORY COHERENCE
EDMONDS, BRUCE - In: Advances in Complex Systems (ACS) 15 (2012) 06, pp. 1250085-1
presented based on Thagard's theory of explanatory coherence. In this model there are a fixed number of represented beliefs … (unrepresented) shared beliefs. These beliefs are to different extents coherent with each other — this is modeled using a coherence … related to the change in coherence that would result in an agent's belief store. A resulting measured "opinion" can be …
Persistent link: https://www.econbiz.de/10011010857
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Is the Rand Really Decoupled from Economic Fundamentals?
Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl - Department of Economics, Faculty of Economic and … - 2014
nominal shocks. Using a time-varying parameter VAR we study the coherence, conditional volatility and impulse responses of the …
Persistent link: https://www.econbiz.de/10011011766
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Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...
Persistent link: https://www.econbiz.de/10011207083