Search Results - subject:"Conditional expectation"

Money As Indicator for the Natural Rate of Interest

Berger, Helge; Weber, Henning - International Monetary Fund (IMF) - 2012

The natural interest rate is of great relevance to central banks, but it is difficult to measure. We show that in a standard microfounded monetary model, the natural interest rate co-moves with a transformation of the money demand that can be computed from actual data. The co-movement is of a...

Persistent link: https://www.econbiz.de/10009650625

Inflation, interest rate and output gap in the US economy: a vine copula modeling

Candido, Osvaldo; Divino, Jose Angelo - In: Journal of Economic Studies 44 (2017) 3, pp. 412-430

over time according to a stochastic autoregressive processes. Additionally, a conditional expectation based on vine copula … is used to analyze the conditional expectation of interest rate. Findings The results suggest that the joint distribution … strategy for multivariate distributions. Moreover, the conditional expectation implied by vine copulas is suitable to account …

Persistent link: https://www.econbiz.de/10014864690

Additive portfolio improvement and utility-efficient payoffs

Kassberger, Stefan; Liebmann, Thomas - In: Mathematics and financial economics 11 (2017) 2, pp. 241-262

Persistent link: https://www.econbiz.de/10011900543

Computing the variance of a conditional expectation via non-nested Monte Carlo

Goda, Takashi - In: Operations research letters 45 (2017) 1, pp. 63-67

Persistent link: https://www.econbiz.de/10011687177

Inflation, interest rate and output gap in the US economy : a vine copula modeling

Candido, Osvaldo; Divino, José Angelo - In: Journal of economic studies 44 (2017) 3, pp. 412-430

Persistent link: https://www.econbiz.de/10011757542

On the impact of conditional expectation estimators in portfolio theory

Ortobelli, Sergio; Kouaissah, Noureddine; Tichý, Tomáš - In: Computational Management Science : CMS 14 (2017) 4, pp. 535-557

Persistent link: https://www.econbiz.de/10011758949

A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics

Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803

Persistent link: https://www.econbiz.de/10011848675

EM estimation for multivariate skew slash distribution

Tian, Weizhong; Han, Guodong; Wang, Tonghui; Varith … - In: Robustness in econometrics, (pp. 235-248). 2017

Persistent link: https://www.econbiz.de/10011801175

Two-stage stochastic mixed-integer linear programming : the conditional scenario approach

Beltran-Royo, C. - In: Omega : the international journal of management science 70 (2017), pp. 31-42

Persistent link: https://www.econbiz.de/10011711951

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866

Persistent link: https://www.econbiz.de/10011860776