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A new approach to nomcasting Indian gross value addes
Bhadury, Soumya; Beyer, Robert; Pohit, Sanjib - 2018
Persistent link: https://www.econbiz.de/10011939480
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A spatial latent class model
Lee, Jiyon - In: Economics letters 162 (2018), pp. 62-68
Persistent link: https://www.econbiz.de/10011939761
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A comment on the dynamic factor model with dynamic factors
Poncela, Pilar; Ruiz, Esther - 2020
In this paper, the authors comment on the Monte Carlo results of the paper by Lucchetti and Veneti (A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics), 2020)) that studies and compares the performance of the...
Persistent link: https://www.econbiz.de/10012208913
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Insurance ratemaking using the Exponential-Lognormal regression model
Tzougas, George; Yik, Woo Hee; Mustaqeem, Muhammad Waqar - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 42-71
Persistent link: https://www.econbiz.de/10012194072
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An extended likelihood framework for modelling discretely observed credit rating transitions
Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10012194622
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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Multivariate Cox Hidden Markov models with an application to operational risk
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon - In: Scandinavian actuarial journal 2019 (2019) 8, pp. 686-710
Persistent link: https://www.econbiz.de/10012194991
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Estimation of multivariate asset models with jumps
Ballotta, Laura; Fusai, Gianluca; Loregian, Angela; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
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Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Mehrdoust, Farshid; Noorani, Idin - In: International journal of financial engineering 6 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012167493
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On the Type I multivariate zero-truncated hurdle model with applications in health insurance
Zhang, Pengcheng; Calderin, Enrique; Li, Shuanming; Wu, … - In: Insurance / Mathematics & economics 90 (2020), pp. 35-45
Persistent link: https://www.econbiz.de/10012169495