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Maximum simulated likelihood estimation of the seemingly unrelated stochastic frontier regressions

Lai, Hung-pin - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 2943-2968

Persistent link: https://www.econbiz.de/10012585729

Measuring the effect of management on production : a two-tier stochastic frontier approach

Papadopoulos, Alecos - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 3011-3041

Persistent link: https://www.econbiz.de/10012585758

Financial derivatives and default dependence : a time-varying copula approach

Zhang, Xuan; Liu, Ding; Zhao, Yang; Zhang, Zhekai - In: Applied economics letters 28 (2021) 11, pp. 958-963

Persistent link: https://www.econbiz.de/10012589711

Is gold a safe haven? : the international evidence revisited

Bulut, Levent; Rizvanoghlu, Islam - In: Acta oeconomica : periodical of the Hungarian Academy … 70 (2020) 4, pp. 531-549

Persistent link: https://www.econbiz.de/10012438067

A joint top income and wealth distribution

Steiner, Viktor; Zhu, Junyi - 2020 - Preliminary draft – 2019.05.30

estimation of these two top distributions. We leverage the bivariate parametric/non-parametric copula to extrapolate both income … and wealth distributions from German PHF (Panel on Household Finance) data. The copula modelling potentially reduces the …. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one …

Persistent link: https://www.econbiz.de/10012438173

A goodness-of-fit test for copulas based on martingale transformation

Lu, Xiaohui; Zheng, Xu - In: Journal of econometrics 215 (2020) 1, pp. 84-117

Persistent link: https://www.econbiz.de/10012439384

A multivariate prediction copula model to characterize the expenditure categories in tourism

Brida, Juan Gabriel; Lanzilotta, Bibiana; Moreno, Leonardo - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 3, pp. 474-493

Persistent link: https://www.econbiz.de/10012483399

On copula-based collective risk models : from elliptical copulas to vine copulas

Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo - In: Scandinavian actuarial journal 2021 (2021) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012484027

Stochastic comparisons of replacement policies in coherent systems under minimal repair

Arriaza, Antonio; Navarro, Jorge; Suárez-Llorens, Alfonso - In: Naval research logistics : an international journal 65 (2018) 6/7, pp. 550-565

Persistent link: https://www.econbiz.de/10012166246

Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358