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Creditworthiness dynamics and Hidden Markov Models
Quirini, L.; Vannucci, L. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 323-330
Persistent link: https://www.econbiz.de/10010251710
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Inference based on SVARs identified with sign and zero restrictions : theory and applications
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2014
Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using structural vector autoregressions (SVAR) identified with sign and zero restrictions...
Persistent link: https://www.econbiz.de/10010240068
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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
methods' performance in a simulation study. …
Persistent link: https://www.econbiz.de/10011697332
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An introduction to understanding and teaching within-cluster correlation in complex surveys
Barreto, Humberto; Raghav, Manu - In: Eastern economic journal 43 (2017) 4, pp. 727-728
Persistent link: https://www.econbiz.de/10012244036
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A risk-sensitive approach for stressed transition probability matrixes
Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74
Persistent link: https://www.econbiz.de/10011991970
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …
Persistent link: https://www.econbiz.de/10012018487
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020
the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately …
Persistent link: https://www.econbiz.de/10012160012
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2017 - Rev. edition
Persistent link: https://www.econbiz.de/10011886419
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Estimating asset correlations fromstock prices or default rates –which method is superior?
Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a … substantial downward bias characteristicof estimates based on default rates. Our results suggest that correlation estimates … explain the dierences in correlation estimates. Furthermore, ourresults help to quantify the estimation error of asset …
Persistent link: https://www.econbiz.de/10005866366
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PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS
KOKHOLM, THOMAS - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 687-707
European countries. A pricing approach for general payoffs is presented and illustrated with simulation via the pricing of a …
Persistent link: https://www.econbiz.de/10008512507