Search Results - subject:"parameter uncertainty"

In search of the optimal number of fund subgroups

Yan, Cheng; Cheng, Tingting - In: Journal of empirical finance 50 (2019), pp. 78-92

Persistent link: https://www.econbiz.de/10012169933

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Light robustness in the optimization of Markov decision processes with uncertain parameters

Buchholz, Peter; Scheftelowitsch, Dimitri - In: Computers & operations research : and their … 108 (2019), pp. 69-81

Persistent link: https://www.econbiz.de/10012064929

Economic scenario generator and parameter uncertainty : a bayesian approach

Bégin, Jean-François - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 335-372

Persistent link: https://www.econbiz.de/10012056594

Simple moment-based tests for value-at-risk models and discrete distribution

Bontemps, Christian - Toulouse School of Economics (TSE) - 2014

alternatives, we compare this strategy with the one in which parameter uncertainty is corrected. The special example of backtesting …

Persistent link: https://www.econbiz.de/10011086697

Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions

Novales, Alfonso; Eransus, Francisco Javier - Facultad de Ciencias Económicas y Empresariales, … - 2014

We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restricted to linear models in stationary variables. We...

Persistent link: https://www.econbiz.de/10010862571

Specification Tests for Nonlinear Dynamic Models

Kheifets, Igor - Cowles Foundation for Research in Economics, Yale University - 2014

. We establish weak convergence of the process under parameter uncertainty and local alternatives. We justify a parametric …

Persistent link: https://www.econbiz.de/10010937901

Specification Tests for Nonlinear Dynamic Models

Kheifets, Igor - Center for Economic and Financial Research (CEFIR), New … - 2014

. We establish weak convergence of the process under parameter uncertainty and local alternatives. We justify a parametric …

Persistent link: https://www.econbiz.de/10010938030

Evaluating Option Pricing Model Performance Using Model Uncertainty

Lehnert, Thorsten; Blanchard, Gildas; Bams, Dennis - Luxembourg School of Finance, Faculté de droit, … - 2014

function that is used to measure option pricing performance. This methodology enables us to visualize the effect of parameter … uncertainty on the reported pricing performance. Using a data driven approach, we confirm previous evidence that standard …

Persistent link: https://www.econbiz.de/10010940813

A parsimonious approach to stochastic mortality modelling with dependent residuals

Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014

Persistent link: https://www.econbiz.de/10010362818