Search Results - subject:"conditional distribution"

Modeling dynamic higher-order comoments for portfolio selection based on copula approach

Wang, Yanfeng; Ke, Rui; Yang, Dong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10015271380

Modeling the symmetric relation between baltic exchange indexes

Pourkermani, Kasra - In: Maritime business review 8 (2023) 3, pp. 225-237

Persistent link: https://www.econbiz.de/10014486961

A closed-form pricing formula for European options in an illiquid asset market

Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang - In: Financial innovation : FIN 8 (2022), pp. 1-18

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

Persistent link: https://www.econbiz.de/10013170252

Estimation of conditional distribution functions from data with additional errors applied to shape optimization

Hansmann, Matthias; Horn, Benjamin M.; Kohler, Michael; … - In: Metrika 85 (2021) 3, pp. 323-343

We study the problem of estimating conditional distribution functions from data containing additional errors. The only …

Persistent link: https://www.econbiz.de/10014497465

A priori ratemaking selection using multivariate regression models allowing different coverages in auto insurance

Gómez-Déniz, Emilio; Calderín-Ojeda, Enrique - In: Risks 9 (2021) 7, pp. 1-18

A comprehensive auto insurance policy usually provides the broadest protection for the most common events for which the policyholder would file a claim. On the other hand, some insurers offer extended third-party car insurance to adapt to the personal needs of every policyholder. The extra...

Persistent link: https://www.econbiz.de/10013200801

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return,...

Persistent link: https://www.econbiz.de/10012611728

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012520916

A priori ratemaking selection using multivariate regression models allowing different coverages in auto insurance

Gómez-Déniz, Emilio; Calderín-Ojeda, Enrique - In: Risks : open access journal 9 (2021) 7, pp. 1-18

Persistent link: https://www.econbiz.de/10012599629

Gaussian transforms modeling and the estimation of distributional regression functions

Spady, Richard Henry; Stouli, Sami - 2020

Conditional distribution functions are important statistical objects for the analysis of a wide class of problems in … econometrics and statistics. We propose flexible Gaussian representations for conditional distribution functions and give a concave …. Inference and estimation results for conditional distribution, quantile and density functions implied by our representations are …

Persistent link: https://www.econbiz.de/10012621130

Gaussian transforms modeling and the estimation of distributional regression functions

Spady, Richard Henry; Stouli, Sami - 2020

Persistent link: https://www.econbiz.de/10012312896