Search Results - subject:"estimation error"

Cost overrun at the Norwegian continental shelf : the element of surprise

Oglend, Atle; Osmundsen, Petter; Lorentzen, Sindre - 2016

We examine drivers of cost overruns in Norwegian development projects in the oil and gas sector. The multivariate longitudinal econometric analysis employs a unique and detailed dataset consisting of 80 different projects between 2000 and 2015. Among the significant results, we find that the...

Persistent link: https://www.econbiz.de/10011471525

Regression based reserving models and partial information

Lindholm, Mathias; Verrall, Richard - In: Insurance / Mathematics & economics 94 (2020), pp. 109-124

Persistent link: https://www.econbiz.de/10012419147

Noise fit, estimation error and a Sharpe information criterion

Paulsen, Dirk; Söhl, Jakob - In: Quantitative finance 20 (2020) 6, pp. 1027-1043

Persistent link: https://www.econbiz.de/10012262656

Enterprise risk management and accruals estimation error

Johnston, Joseph; Soileau, Jared - In: Journal of contemporary accounting & economics 16 (2020) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10012421439

Correlation shrinkage : implications for risk forecasting

Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108

Persistent link: https://www.econbiz.de/10012589102

Portfolio construction by mitigating error amplification : the bounded-noise portfolio

Zhao, Long; Chakrabarti, Deepayan; Muthuraman, Kumar - In: Operations research 67 (2019) 4, pp. 965-983

Persistent link: https://www.econbiz.de/10012062850

Hedging parameter risk

Claußen, Arndt; Rösch, Daniel; Schmelzle, Martin - In: Journal of banking & finance 100 (2019), pp. 111-121

Persistent link: https://www.econbiz.de/10012162464

Testing for constant correlation of filtered series under structural change

Demetrescu, Matei; Wied, Dominik - In: The econometrics journal 22 (2019) 1, pp. 10-33

Persistent link: https://www.econbiz.de/10012166648

Making Cornish-Fisher fit for risk measurement

Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81

Persistent link: https://www.econbiz.de/10012059934

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10010334261