Search Results - subject:"Model complexity"

Appraising model complexity in option pricing

Cummins, Mark; Esposito, Francesco - 2025

Persistent link: https://www.econbiz.de/10015376680

The effects of team mental model complexity on team information search and performance trajectories

Uitdewilligen, Sjir; Waller, Mary J.; Roe, Robert A.; … - In: Group & organization management : an international journal 48 (2023) 3, pp. 755-789

Persistent link: https://www.econbiz.de/10014253470

Does model complexity improve pricing accuracy? The case of CoCos

Koziol, Christian; Weitz, Sebastian - In: Review of Derivatives Research 24 (2021) 3, pp. 261-284

In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out …

Persistent link: https://www.econbiz.de/10014501935

Does model complexity improve pricing accuracy? : the case of CoCos

Koziol, Christian; Weitz, Sebastian Georg - In: Review of derivatives research 24 (2021) 3, pp. 261-284

Persistent link: https://www.econbiz.de/10012659679

ASYMMETRIC PRICE TRANSMISSION MODELING: THE IMPORTANCE OF MODEL COMPLEXITY AND THE PERFORMANCE OF THE SELECTION CRITERIA

DE-GRAFT, ACQUAH HENRY - In: Russian Journal of Agricultural and Socio-Economic Sciences 13 (2013) 3, pp. 43-48

substantial gains in recovery rates as sample size increased. The research findings demonstrate the influence of model complexity … transmission models or theories. However, little is understood about the sensitivity of the model selection methods to model … complexity. This study therefore fits competing asymmetric price transmission models that differ in complexity to simulated data …

Persistent link: https://www.econbiz.de/10011222441

Model Selection in the Presence of Incidental Parameters

Lee, Yoonseok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

penalty, which is data-dependent, properly reflects the model complexity arising from the presence of incidental parameters. A …

Persistent link: https://www.econbiz.de/10010895640

Model Selection in the Presence of Incidental Parameters

Lee, Yoonseok; Phillips, Peter C.B. - Center for Policy Research, Maxwell School - 2013

penalty, which is datadependent, properly reflects the model complexity arising from the presence of incidental parameters. A …

Persistent link: https://www.econbiz.de/10010701001

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

This paper analyzes the impact of model complexity on the net present value distribution and the expected default … probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and …

Persistent link: https://www.econbiz.de/10010305715

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - Fakultät für Wirtschaftswissenschaften, Technische … - 2010

Persistent link: https://www.econbiz.de/10009219934

Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches

Anatolyev, Stanislav; Kryzhanovskaya, Natalia - Center for Economic and Financial Research (CEFIR), New … - 2009

To predict a return characteristic, one may construct models of different complexity describing the dynamics of different objects. The most complex object is the entire predictive density, while the least complex is the characteristic whose forecast is of interest. This paper investigates, using...

Persistent link: https://www.econbiz.de/10008556814