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Econometrics and risk management

Fouque, Jean-Pierre (ed.); Fomby, Thomas B. (ed.); … - 2008 - 1. ed.

Persistent link: https://www.econbiz.de/10003793159

Model risk : identification, measurement and management

Scheule, Harald (ed.) - 2010

Persistent link: https://www.econbiz.de/10003937889

Applying maximum entropy to econometric problems

Hill, Rufus Carter (contributor); … - 1997

theory. In 1957 Jaynes made use of Shannon's entropy concept as a basis for estimation and inference in problems that are ill … problems / Linda Fernandez -- Dart boards and asset prices : Introducing the entropy pricing theory / Les Gulko -- Information …) : theory and applications / Arnold Zellner …

Persistent link: https://www.econbiz.de/10009628699

Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...