Search Results - subject:"parameter uncertainty"

The effect of parameter uncertainty on consumption, wealth, and welfare

Sampson, Michael J. - In: Annals of economics and finance 23 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013352603

Real-time Bayesian learning and bond return predictability

Wan, Runqing; Fulop, Andras; Li, Junye - In: Journal of econometrics 230 (2022) 1, pp. 114-130

Persistent link: https://www.econbiz.de/10013441922

A novel derivation and interpretation of the Kelly criterion

Kull, Andreas - In: The journal of investment strategies 11 (2022) 2, pp. 47-58

Persistent link: https://www.econbiz.de/10013462912

Model risk of contingent claims

Detering, Nils; Packham, Natalie - 2018

Paralleling regulatory developments, we devise value-at-risk and expected shortfall type risk measures for the potential losses arising from using misspecied models when pricing and hedging contingent claims. Essentially, losses from model risk correspond to losses realized on a perfectly hedged...

Persistent link: https://www.econbiz.de/10012433185

Uncertainty about QE effects when an interest rate peg is anticipated

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018

uncertainty in an analysis of these policies. We model FG as an anticipated temporary interest rate peg. The degree of parameter …) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter … uncertainty is considerable and increasing in the length of FG. The probability of being able to reset prices and wages is the …

Persistent link: https://www.econbiz.de/10011848387

Uncertainty about QE effects when an interest rate peg is anticipated

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018

Persistent link: https://www.econbiz.de/10011846905

"Moment‐based tests under parameter uncertainty"

Bontemps, Christian - 2018

Persistent link: https://www.econbiz.de/10011811851

Adaptive neural network-based path tracking control for autonomous combine harvester with input saturation

Zhang, Yuexin; Wang, Lihui; Liu, Yaodong - In: Industrial Robot: the international journal of robotics … 48 (2021) 4, pp. 510-522

Purpose To reduce the effect of parameter uncertainties and input saturation on path tracking control for autonomous combine harvester, a path tracking controller is proposed, which integrates an adaptive neural network estimator and a saturation-aided system. Design/methodology/approach First,...

Persistent link: https://www.econbiz.de/10014835960

Parameter uncertainty in estimation of portfolio efficiency : evidence from an interval diversification-consistent DEA approach

Xiao, Helu; Ren, Tiantian; Zhou, Zhongbao; Liu, Wenbin - In: Omega : the international journal of management science 103 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012581724

What does a term structure model imply about very long-term interest rates?

Balter, Anne G.; Pelsser, Antoon André Jean; Schotman, … - In: Journal of empirical finance 62 (2021), pp. 202-219

Persistent link: https://www.econbiz.de/10012693395