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Uncertain Range Directional Measure Model under Deep Uncertainty : A Robust Convex Programming Approach

Peykani, Pejman; Edalatpanah, Seyed Ahmad; Najafi, … - 2023

Tehran stock exchange. The results indicate on the efficacy of the presented RRDM model for performance measurement of DMUs …

Persistent link: https://www.econbiz.de/10014262715

Reverse sensitivity analysis for risk modelling

Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

Persistent link: https://www.econbiz.de/10013364877

Model uncertainty in risk capital measurement

Bignozzi, Valeria; Tsanakas, Andreas - In: Journal of risk 18 (2015/2016) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10011439043

Measuring Knightian uncertainty

Dibiasi, Andreas; Iselin, David - In: Empirical economics : a quarterly journal of the … 61 (2021) 4, pp. 2113-2141

Persistent link: https://www.econbiz.de/10012622470

Measuring Knightian Uncertainty

Dibiasi, Andreas - 2020

Knightian Uncertainty represents a situation in which it is no longer possible to form expectations about future events. We propose the first method to directly measure Knightian Uncertainty. Our approach relies on firm-level data and measures the share of firms that are not able to formalize...

Persistent link: https://www.econbiz.de/10012849172

Uncertainty, perception and the Internet

Bontempi, Maria Elena; Frigeri, Michele; Golinelli, Roberto - 2019

Macroeconomic uncertainty consists of three components: the unobservable, the heterogeneous and the "uncertain". We are unaware of exactly when economic agents perceive uncertainty and which type of uncertainty interests them. This paper introduces and outlines a way of conducting large-scale...

Persistent link: https://www.econbiz.de/10012110400

A new index of uncertainty based on internet searches : a friend or foe of other indicators?

Bontempi, Maria Elena; Golinelli, Roberto; Squadrani, Matteo - 2016 - This version: March, 8th 2016

The preliminary evidence in the literature suggests that changes in uncertainty have a role in shaping the U.S. economic cycle. But what is effectively measured by the different available indicators of uncertainty still remains an "uncertain" issue. This paper has two aims: (i) to introduce a...

Persistent link: https://www.econbiz.de/10011705516

Criteria satisfaction under measure based uncertainty

Yager, Ronald R. - In: Fuzzy optimization and decision making : a journal of … 9 (2010) 3, pp. 307-331

Persistent link: https://www.econbiz.de/10009241021

Measuring macroeconomic uncertainty : a historical perspective

Shen, Yifan - In: Economics letters 196 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012510982

Measuring Firm-Level Uncertainty

Tito, Maria - 2020

Ample empirical research documents the negative effect of uncertainty on economic activity. Unexpected changes in macroeconomic conditions or doubts about the direction of future policy tend to be associated with lower capital investments, reduced hiring, and slower consumer spending

Persistent link: https://www.econbiz.de/10014092268