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Multiple regression model averaging and the focused information criterion with an application to portfolio choice

Klimenka, Filip; Wolter, James Lewis - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 506-516

Persistent link: https://www.econbiz.de/10012178192

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

A Model Confidence Set approach to the combination of multivariate volatility forecasts

Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891

Persistent link: https://www.econbiz.de/10012496876

Modelling techniques for financial markets and bank management

Bertocchi, Marida (ed.); Cavalli, Enrico (contributor); … - 1996

Persistent link: https://www.econbiz.de/10000562871

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...

Persistent link: https://www.econbiz.de/10011897976

Credit-risk modelling : theoretical foundations, diagnostic tools, practical examples, and numerical recipes in Python

Bolder, David Jamieson - 2018

Persistent link: https://www.econbiz.de/10011890346

New methods in fixed income modeling : fixed income modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

Persistent link: https://www.econbiz.de/10011890434

Dynamically consistent investment under model uncertainty : the robust forward criteria

Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918

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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

Persistent link: https://www.econbiz.de/10012041612

Determining risk model confidence sets

Cummins, Mark; Dowling, Michael; Esposito, Francesco - In: Finance research letters 22 (2017), pp. 169-174

Persistent link: https://www.econbiz.de/10011808131