Search Results - subject:"Detection error probability"

Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28

conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …

Persistent link: https://www.econbiz.de/10014289085

Model uncertainty, economic development, and welfare costs of business cycles

Okubo, Masakatsu - In: Journal of macroeconomics 76 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014333972

Robust control in a rough environment

Han, Bingyan; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 3, pp. 481-500

Persistent link: https://www.econbiz.de/10013167772

Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries

Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355

Persistent link: https://www.econbiz.de/10012129516

On the computation of detection error probabilities under normality assumptions

Okubo, Masakatsu - In: Economics letters 171 (2018), pp. 106-109

Persistent link: https://www.econbiz.de/10012021850

Model uncertainty and the Forward Premium Puzzle

Djeutem, Edouard - In: Journal of International Money and Finance 46 (2014) C, pp. 16-40

This paper studies the Forward Premium Puzzle in a setting where investors doubt the specification of their models, and thus engage in robust portfolio strategies (Hansen and Sargent, 2008). It shows that an empirically plausible concern for model misspecification can explain the Forward Premium...

Persistent link: https://www.econbiz.de/10010869424

Model uncertainty and the Forward Premium Puzzle

Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40

Persistent link: https://www.econbiz.de/10010391022