Search Results - subject:"Probabilities"

Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...

Persistent link: https://www.econbiz.de/10008559278

Efficient interval scoring rules

Schlag, Karl; Weele, Joël van der - Department of Economics and Business, Universitat … - 2009

Scoring rules that elicit an entire belief distribution through the elicitation of point beliefs are time-consuming and demand considerable cognitive e¤ort. Moreover, the results are valid only when agents are risk-neutral or when one uses probabilistic rules. We investigate a class of rules in...

Persistent link: https://www.econbiz.de/10008455570

An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Callegaro, Giorgia; Sagna, Abass - HAL - 2009

probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the … of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the …

Persistent link: https://www.econbiz.de/10008793463

Transition choice probabilities and welfare in ARUM's

Palma, André De; Kilani, Karim - HAL - 2009

utility models. We first derive expressions for the transition choice probabilities associated to these changes. A closed … probabilities. This framework allows us to derive a stochastic version of Shephard's lemma, which relates the expected conditional … compensating variation and the transition choice probabilities. We compute the compensating variation for a simple binary linear in …

Persistent link: https://www.econbiz.de/10008794436

India; Selected Issues

International Monetary Fund (IMF); International … - 2009

Despite the external origin of the financial crisis, the potential impact on Indiaâ€™s corporate sector could be large, as India has become increasingly integrated with the global economy in the past decade. The Selected Issues paper discusses Indiaâ€™s economic development and...

Persistent link: https://www.econbiz.de/10011244625

Are high-growth firms one-hit wonders? Evidence from Sweden

Daunfeldt, Sven-Olov; Halvarsson, Daniel - In: Small Business Economics 44 (2015) 2, pp. 361-383

Most firms do not grow, and a small number of high-growth firms seem to create most new jobs. These firms have therefore received increasing attention among policymakers. The question is whether high-growth tends to persist? We investigate this question using firm-level data from Sweden during...

Persistent link: https://www.econbiz.de/10011154858

Gender differences when subjective probabilities affect risky decisions: an analysis from the television game show Cash Cab

Kelley, Matthew; Lemke, Robert - In: Theory and Decision 78 (2015) 1, pp. 153-170

women appear to weigh performance variables differently when relying on subjective probabilities. At best men base their …

Persistent link: https://www.econbiz.de/10011154911

Vigilant measures of risk and the demand for contingent claims

Ghossoub, Mario - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 27-35

We examine a class of utility maximization problems with a non-necessarily law-invariant utility, and with a non-necessarily law-invariant risk measure constraint. Under a consistency requirement on the risk measure that we call Vigilance, we show the existence of optimal contingent claims, and...

Persistent link: https://www.econbiz.de/10011263856

Tools for checking calibration of a Cox model in external validation: Prediction of population-averaged survival curves based on risk groups

Royston, Patrick - In: Stata Journal 15 (2015) 1, pp. 275-291

prediction, particularly of survival (or equivalently, failure or event) probabilities at any time after the time origin". In … probabilities in several prognostic groups derived by placing cutpoints on the prognostic index. I distinguish between full …

Persistent link: https://www.econbiz.de/10011265698

Markov-modulated, multi-threshold dual risk model

Shija, G.; Jacob, M.J. - In: International Journal of Computational Economics and … 5 (2015) 2, pp. 183-198

explicit form of the survival probabilities for both the states irrespective of the initial state being 1 or 2 and the process …

Persistent link: https://www.econbiz.de/10011266469