Search Results - subject:"Conditional Probability"

Predictive distributions that mimic frequencies over a restricted subdomain

Lad, Frank; Sanfilippo, Giuseppe - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 17-41

Persistent link: https://www.econbiz.de/10012285385

Analysing the relationship between district heating demand and weather conditions through conditional mixture copula

Di Lascio, F. Marta L.; Menapace, Andrea; Righetti, Maurizio - 2020

Persistent link: https://www.econbiz.de/10012415220

An epistemic analysis of dynamic games with unawareness

Guarino, Pierfrancesco - In: Games and economic behavior 120 (2020), pp. 257-288

Persistent link: https://www.econbiz.de/10012239512

The peak of CO2 emissions in China : a new approach using survival models

Wang, Zhaohua; Huang, Wanjing; Chen, Zhongfei - In: Energy economics 81 (2019), pp. 1099-1108

Persistent link: https://www.econbiz.de/10012173072

Forecasting dynamic return distributions based on ordered binary choice

Anatolyev, Stanislav; Baruník, Jozef - In: International journal of forecasting 35 (2019) 3, pp. 823-835

Persistent link: https://www.econbiz.de/10012305181

Defaultable claims in switching models with partial information

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012030897

The multivariate option iPoD framework: assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010409363

The multivariate option iPoD framework: assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2014

Persistent link: https://www.econbiz.de/10010957132

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

Persistent link: https://www.econbiz.de/10010405480

The multivariate option iPoD framework: Assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2013

We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010378295