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Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10011610652

Modeling dependency of volatility on sampling frequency via delay equations

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10011685676

Sample dependence of risk premiums

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37

Persistent link: https://www.econbiz.de/10012052401

A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses

Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262

Persistent link: https://www.econbiz.de/10012103459

Audit sampling using Benford's Law : a review of the literature with some new perspectives

Nigrini, Mark John - In: Journal of emerging technologies in Accounting 14 (2017) 2, pp. 29-46

Persistent link: https://www.econbiz.de/10011846636

Group acceptance sampling plan for lifetime data using generalized Pareto distribution

Aslam, Muhammad; Ahmad, Munir; Mughal, Abdul Razzaqe - In: Pakistan journal of commerce and social sciences 4 (2010) 2, pp. 185-193

In this paper, a group acceptance sampling plan (GASP) is introduced for the situations when lifetime of the items … determined when the consumer's risk and the test termination time are specified. The proposed sampling plan is compared with the … existing sampling plan. It is concluded that the proposed sampling plan performs better than the existing plan in terms of …

Persistent link: https://www.econbiz.de/10011923267

Inference for local distributions at high sampling frequencies : a bootstrap approach

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2018

Persistent link: https://www.econbiz.de/10011864974

Regional incomes structure analysis in Slovak republic on the basis of EU-SILC data

Terek, Milan - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 171-185

Persistent link: https://www.econbiz.de/10011865984

Sampling the multivariate standard normal distribution under a weighted sum constraint

Frédéric, Vrins - In: Risks : open access journal 6 (2018) 3, pp. 1-13

Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of...

Persistent link: https://www.econbiz.de/10011867487

Distribution regression with sample selection, with an application to wage decompositions in the UK

Chernozhukov, Victor; Fernández-Val, Iván; Luo, Siyi - 2018

We develop a distribution regression model under endogenous sample selection. This model is a semiparametric generalization of the Heckman selection model that accommodates much rich patterns of heterogeneity in the selection process and effect of the covariates. The model applies to continuous,...

Persistent link: https://www.econbiz.de/10011935935