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Overnight Index Rate: Model, calibration and simulation

Yashkir, Olga; Yashkir, Yuri - In: Cogent Economics & Finance 2 (2014) 1, pp. 2-11

central peak and the wide fat-tailed component. The calibration algorithm for the model is developed and investigated using …

Persistent link: https://www.econbiz.de/10011559125

Many inspections are manipulable

Shmaya, Eran - In: Theoretical Economics 3 (2008) 3, pp. 367-382

A self-proclaimed expert uses past observations of a stochastic process to make probabilistic predictions about the process. An inspector applies a test function to the infinite sequence of predictions provided by the expert and the observed realization of the process in order to check the...

Persistent link: https://www.econbiz.de/10011599407

A business cycle model for Nigeria

Alege, Philip O. - In: CBN Journal of Applied Statistics 03 (2012) 1, pp. 85-115

The current global financial meltdown draws, once again, attention to the existence of business cycle fluctuations. Experts are of the view that the ongoing crisis is far deeper than the great depression of the 1930s. It should be recalled that the Keynes and Keynesianism was a response to that...

Persistent link: https://www.econbiz.de/10011482571

An Efficient Lattice Algorithm for the LIBOR Market Model

Xiao, Tim - In: Journal of Derivatives 19 (2011) 1, pp. 25-40

losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model …

Persistent link: https://www.econbiz.de/10012022036

Anchored Calibration: From Qualitative Data to Fuzzy Sets

Legewie, Nicholas - In: Forum: Qualitative Sozialforschung 18 (2018) 3

sets? This calibration has crucial impact on QCA results. Hence, reliability of calibration is a decisive factor in a study …'s overall quality and credibility. I develop "anchored calibration" as an approach that addresses important gaps in prior … approaches and helps enhancing calibration reliability. Anchored calibration involves three steps: conceptualizing conditions and …

Persistent link: https://www.econbiz.de/10012505562

Costly miscalibration

Guo, Yingni; Shmaya, Eran - In: Theoretical Economics 16 (2021) 2, pp. 477-506

We consider a platform which provides probabilistic forecasts to a customer using some algorithm. We introduce a concept of miscalibration, which measures the discrepancy between the forecast and the truth. We characterize the platform's optimal equilibrium when it incurs some cost for...

Persistent link: https://www.econbiz.de/10013189059

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks 7 (2019) 2, pp. 1-18

inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first … update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make …

Persistent link: https://www.econbiz.de/10013200463

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks 10 (2022) 2, pp. 1-33

We aim to assess the impact of a pandemic data point on the calibration of a stochastic multi-population mortality … buckets. To be compliant with the design and calibration strategy of the Li and Lee model, we transform the weekly mortality …, like COVID-19 in the year 2020, we weigh this data point in either the calibration or projection step. Obviously, the more …

Persistent link: https://www.econbiz.de/10013200917

An evaluation of design-based properties of different composite estimators

Bonnéry, Daniel; Cheng, Yang; Lahiri, Partha - In: Statistics in Transition New Series 21 (2020) 4, pp. 166-190

For the last several decades, the US Census Bureau has been applying AK composite estimation method for estimating monthly levels and month-to-month changes in unemployment using data from the Current Population Survey (CPS), which uses a rotating panel design. For each rotation group,...

Persistent link: https://www.econbiz.de/10012600251

Developing calibration estimators for population mean using robust measures of dispersion under stratified random sampling

Audu, Ahmed; Singh, Rajesh; Khare, Supriya - In: Statistics in Transition New Series 22 (2021) 2, pp. 125-142

In this paper, two modified, design-based calibration ratio-type estimators are presented. The suggested estimators … using normal, chi-square, exponential and gamma populations. The results of the study indicate that the proposed calibration …

Persistent link: https://www.econbiz.de/10012600295