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A new tool for robust estimation and identification of unusual data points
Garciga, Christian; Verbrugge, Randal - 2020
Persistent link: https://www.econbiz.de/10012182776
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Gibbs posterior inference on value-at-risk
Syring, Nicholas; Hong, Liang; Martin, Ryan - In: Scandinavian actuarial journal 2019 (2019) 7, pp. 548-557
Persistent link: https://www.econbiz.de/10012194974
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Discordant relaxations of misspecified models
Kédagni, Désiré; Li, Lixiong; Mourifié, Ismael - 2021
Persistent link: https://www.econbiz.de/10012650288
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Discordant relaxations of misspecified models
Kédagni, Désiré; Li, Lixiong; Mourifié, Ismael - 2021
misspecification. We provide a sufficient condition for the existence of discordant outer sets which covers models characterized by … sets of these minimum relaxations is misspecification-robust and it has a new and intuitive empirical interpretation …
Persistent link: https://www.econbiz.de/10012501418
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012308723
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Inference in moment inequality models that Is robust to spurious precision under model misspeci fication
Andrews, Donald W. K.; Kwon, Soonwoo - 2019 - Revised: July 8, 2019
Persistent link: https://www.econbiz.de/10012053175
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Counterfactual sensitivity and robustness
Christensen, Tim; Connault, Benjamin - In: Econometrica : journal of the Econometric Society, an … 91 (2023) 1, pp. 263-298
Persistent link: https://www.econbiz.de/10014309654
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Robust implementation in teneral mechanisms
Bergemann, Dirk (contributor); Morris, Stephen (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767443
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Measuring model risk
Sibbertsen, Philipp (contributor);  … - 2008
Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...
Persistent link: https://www.econbiz.de/10003784020