Search Results - subject:"Conditional distribution"

Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality

Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172

Persistent link: https://www.econbiz.de/10012547106

Interpretation and semiparametric efficiency in quantile regression under misspecification

Lee, Ying-Ying - In: Econometrics 4 (2016) 1, pp. 1-14

conditional distribution function, evaluated at the linear quantile approximation, from the quantile level. The second result … produces parsimonious descriptive statistics for the conditional distribution. Therefore, quantile regression shares the …

Persistent link: https://www.econbiz.de/10011755302

Pair-copula constructions for financial applications: A review

Aas, Kjersti - In: Econometrics 4 (2016) 4, pp. 1-15

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents...

Persistent link: https://www.econbiz.de/10011755354