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Nonparametric forecasting of multivariate probability density functions
Guégan, Dominique; Iacopini, Matteo - 2018
Persistent link: https://www.econbiz.de/10011868987
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Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...
Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29
Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and … loss frequency. In practice, this assumption does not always hold true. Through mathematical analyses, we show that the … (DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …
Persistent link: https://www.econbiz.de/10011687895
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Symmetrized multivariate k-NN estimators
Fan, Yanqin; Liu, Ruixuan - In: Econometric reviews 34 (2015) 6/10, pp. 828-848
Persistent link: https://www.econbiz.de/10011483390
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Actuarial applications of multivariate two-part regression models
Frees, Edward W.; Jin, Xiaoli; Lin, Xiao - In: Annals of actuarial science : publ. by the Institute of … 7 (2013) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10010188105
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On some new dependence models derived from multivariate collective models in insurance applications
Hashorva, Enkelejd; Ratovomirija, Gildas; Tamraz, Maissa - In: Scandinavian actuarial journal (2017) 8, pp. 730-750
Persistent link: https://www.econbiz.de/10011848626
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Generalized autocontours : evaluation of multivariate density models
González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 31 (2015) 3, pp. 799-814
Persistent link: https://www.econbiz.de/10011474574
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Essays on multivariate modelling of financial markets using copula and sentiment networks
Tetereva, Anastasija - 2018
Persistent link: https://www.econbiz.de/10011965123
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A multivariate volatility vine copula model
Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308
Persistent link: https://www.econbiz.de/10012038690
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Modeling volatility and dependence of European carbon and energy prices
Berrisch, Jonathan; Pappert, Sven; Ziel, Florian; … - In: Finance research letters 52 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014471974
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A sequential test for the specification of predictive densities
Lin, Juan; Wu, Ximing - In: The econometrics journal 20 (2017) 2, pp. 190-220
Persistent link: https://www.econbiz.de/10011757383