Search Results - subject:"correlation effects"

A hypothesis test for the long-term calibration in rating systems with overlapping time windows

Kurth, Patrick; Nendel, Max; Streicher, Jan - In: Risks : open access journal 12 (2024) 8, pp. 1-28

long-run default rate. The consideration of one-year default rates on a quarterly basis leads to correlation effects which … approximately normally distributed. We then perform a detailed analysis of the correlation effects caused by the overlapping time …

Persistent link: https://www.econbiz.de/10015065887

Investigating the empirical validity of salience theory : the role of display format effects

Ostermair, Christoph - 2021

Persistent link: https://www.econbiz.de/10012698858

Uncertain dynamics, correlation effects, and robust investment decisions

Flor, Christian Riis; Hesel, Søren - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 278-298

We analyze a firm׳s investment problem when the dynamics of project value and investment cost are uncertain. We provide an explicit solution using a robust method for an ambiguity averse firm taking this into account. Ambiguity aversion regarding a common risk factor impacts differently than...

Persistent link: https://www.econbiz.de/10011190650

Uncertain dynamics, correlation effects, and robust investment decisions

Flor, Christian Riis; Hesel, Søren - In: Journal of economic dynamics & control 51 (2015), pp. 278-298

Persistent link: https://www.econbiz.de/10011474405