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  • Search: subject:"Model misspecification"
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Year of publication
Subject
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model misspecification 68 Modellierung 41 Scientific modelling 34 Theorie 31 Model misspecification 28 Model Misspecification 23 Theory 20 Schätztheorie 18 Estimation theory 17 robustness 13 Learning 10 Robustes Verfahren 10 sensitivity analysis 10 Bayes-Statistik 9 Bayesian inference 9 Learning process 8 Lernprozess 8 Portfolio-Management 8 Risiko 8 Risk 8 Robust statistics 8 latent variables 8 Monte Carlo simulation 7 Portfolio selection 7 maximum likelihood 7 Bayesian Analysis 6 DSGE Models 6 Decision under uncertainty 6 Entscheidung unter Unsicherheit 6 Hedging 6 Schätzung 6 Sensitivity analysis 6 Sensitivitätsanalyse 6 asset pricing 6 continuously updated GMM 6 robust hedging 6 Bias 5 CAPM 5 Experiment 5 Lagrange multiplier test 5
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Online availability
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Free 133 CC license 3
Type of publication
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Book / Working Paper 119 Article 13 Other 1
Type of publication (narrower categories)
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Working Paper 72 Arbeitspapier 33 Graue Literatur 33 Non-commercial literature 33 Article in journal 8 Aufsatz in Zeitschrift 8 Article 4 Thesis 3
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Language
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English 99 Undetermined 33 French 1
Author
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Kan, Raymond 14 Robotti, Cesare 14 Bonhomme, Stéphane 11 Weidner, Martin 11 Teräsvirta, Timo 8 Bottazzi, Giulio 6 Dudenhausen, Antje 6 Giachini, Daniele 6 Gospodinov, Nikolay 6 Mahayni, Antje 6 Branger, Nicole 5 Gospodinov, Nikolaj 5 Antico, Andrea 4 Aydogan, Ilke 4 Bohren, J. Aislinn 4 Bosetti, Valentina 4 Del Negro, Marco 4 Hauser, Daniel 4 Koetse, Mark J. 4 Monti, Francesca 4 Schlögl, Erik 4 Schorfheide, Frank 4 Sloczynski, Tymon 4 Słoczyński, Tymon 4 Vardas, Giannis 4 Xepapadeas, Anastasios 4 Florax, Raymond J.G.M. 3 Lee, Seojeong 3 Liu, Ning 3 Milani, Fabio 3 Schlag, Christian 3 Angelopoulos, Konstantinos 2 Baumeister, Christiane 2 Berger, Loic 2 Berger, Loϊc 2 Canova, Fabio 2 Chevillon, Guillaume 2 Cole, Stephen J. 2 Eliasson, Ann-Charlotte 2 Groot, Henri L.F. de 2
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Institution
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm 5 Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main 3 School of Economics, UNSW Business School 3 University of Bonn, Germany 3 Bank of England 2 European Central Bank 2 Tilburg University, Center for Economic Research 2 CESifo 1 Center for Financial Studies 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Centre for Macroeconomics (CFM) 1 Department of Economics, Boston College 1 Department of Economics, Oxford University 1 Department of Economics, University of California-Irvine 1 Department of Economics, University of Crete 1 Department of Economics, University of Victoria 1 Economics Group, Nuffield College, University of Oxford 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Federal Reserve Bank of Atlanta 1 Finance Discipline Group, Business School 1 Fondazione ENI Enrico Mattei (FEEM) 1 Institute of Economic Research, Kyoto University 1 School of Economics and Management, University of Aarhus 1 Tinbergen Institute 1 Tinbergen Instituut 1 USI Università della Svizzera italiana 1 University of Cyprus Department of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Working Paper 12 SSE/EFI Working Paper Series in Economics and Finance 7 Bonn Econ Discussion Papers 6 CEMMAP working papers / Centre for Microdata Methods and Practice 4 CESifo Working Paper 4 Working papers / Federal Reserve Bank of Atlanta 4 Working papers / Penn Institute for Economic Research 4 cemmap working paper 4 CESifo working papers 3 Discussion Papers / School of Economics, UNSW Business School 3 LEM Working Paper Series 3 LEM working paper series 3 Working Paper Series: Finance and Accounting 3 Working paper 3 Bank of England working papers 2 BuR - Business Research 2 Discussion Paper / Tilburg University, Center for Economic Research 2 Discussion paper / Tinbergen Institute 2 Discussion paper series / IZA 2 ECB Working Paper 2 IZA Discussion Papers 2 Quantitative Economics 2 Quantitative economics : QE ; journal of the Econometric Society 2 Research paper series / Swiss Finance Institute 2 Staff Report 2 Tinbergen Institute Discussion Papers 2 Working Paper Series / European Central Bank 2 Working Paper Series: Finance & Accounting 2 Working papers / Innocenzo Gasparini Institute for Economic Research 2 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Boston College Working Papers in Economics 1 CESifo Working Paper Series 1 CFM discussion paper series 1 CFS Working Paper 1 CFS Working Paper Series 1 CORE Discussion Papers 1 CREATES Research Papers 1 Cahiers de recherche 1 DNB working papers 1 Discussion Papers / Centre for Macroeconomics (CFM) 1
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Source
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RePEc 45 EconStor 43 ECONIS (ZBW) 41 BASE 4
Showing 1 - 10 of 133
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Untangling illiquidity : optimal asset allocation with private asset classes
Dimitrov, Daniel - 2025
Persistent link: https://www.econbiz.de/10015193017
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Pricing anomalies in a general equilibrium model with biased learning
Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024
We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...
Persistent link: https://www.econbiz.de/10014577247
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Pricing anomalies in a general equilibrium model with biased learning
Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024
We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...
Persistent link: https://www.econbiz.de/10014531948
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Behavioral foundations of model misspecification
Bohren, J. Aislinn; Hauser, Daniel - 2024
Persistent link: https://www.econbiz.de/10015078775
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Optimization strategy for the modeling and estimation of interactive effects
Hu, Xiaohui - In: Prague economic papers : a bimonthly journal of … 33 (2024) 3, pp. 261-276
Modeling policy effects in the context of high-dimensional data requires a balanced consideration of omitted interaction bias and overfitting problems. This paper investigates the role of machine learning algorithms in stabilizing estimates and demonstrates the possible regularization bias...
Persistent link: https://www.econbiz.de/10015054100
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Unexpected opportunities in misspecified predictive regressions
Coqueret, Guillaume; Deguest, Romain - In: European journal of operational research : EJOR 318 (2024) 2, pp. 686-700
Persistent link: https://www.econbiz.de/10015048042
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Measuring and testing systemic risk from the cross-section of stock returns
Gil Jaime, Jesús; Olmo, Jose - 2024
Persistent link: https://www.econbiz.de/10015338815
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Market selection and learning under model misspecification
Bottazzi, Giulio; Giachini, Daniele; Ottaviani, Matteo - 2023
misspecified models. Under model misspecification, standard Bayesian learning loses its formal justification and biased learning … processes may provide a selection advantage. However, considering two cases of model misspecification and four learning … long-run asset valuation model robust to model misspecification appears out of reach. …
Persistent link: https://www.econbiz.de/10014541784
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Tradable factor risk premia and oracle tests of asset pricing models
Quaini, Alberto; Trojani, Fabio; Yuan, Ming - 2023 - This version: September 16, 2023
Persistent link: https://www.econbiz.de/10014480342
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Behavioral foundations of model misspecification : a decomposition
Bohren, J. Aislinn; Hauser, Daniel - 2023
Persistent link: https://www.econbiz.de/10014312922
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