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Do financial professionals process information better as a group than non-professionals?

Barron, Orie E.; Enis, Charles R.; Qu, Hong - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18

correlation among individual forecasts explains the group level forecast performance. In an experiment in which participants make …

Persistent link: https://www.econbiz.de/10012587644

Empirical evidences on the interconnectedness between sampling and asset returns' distributions

Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

Persistent link: https://www.econbiz.de/10012596311

Choosing a price and cost combination : the role of correlation

Bar-Ilan, Avner; Maoz, Yishay - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

, where both output price and production cost are stochastic processes, and add a novel focus on how the correlation between … correlation between the processes, as it seeks a greater profitability variance which maximizes its value. …

Persistent link: https://www.econbiz.de/10012795559

Bivariate copula trees for gross loss aggregation with positively dependent risks

Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula families are studied. At every branching node, the...

Persistent link: https://www.econbiz.de/10013368496

Correlation pitfalls with ChatGPT : would you fall for them?

Hofert, Marius - In: Risks : open access journal 11 (2023) 7, pp. 1-17

This paper presents an intellectual exchange with ChatGPT, an artificial intelligence chatbot, about correlation … purpose of this conversation is to evaluate ChatGPT's understanding of correlation pitfalls, to offer readers an engaging …

Persistent link: https://www.econbiz.de/10014335904

The probability of hospital bankruptcy : a stochastic approach

Shanmugam, Ramalingam; Beauvais, Brad; Dolezel, Diane; … - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-23

Healthcare leaders are faced with many financial challenges in the contemporary environment, leading to financial distress and notable instances of bankruptcies in recent years. What is not well understood are the specific conditions that may lead to organizational economic failure. Though there...

Persistent link: https://www.econbiz.de/10015101915

Asymmetric inflation target credibility

Coleman, Winnie; Nautz, Dieter - 2025 - This version: January 2025

This paper investigates the determinants of inflation target credibility (ITC) using a unique survey we designed to measure the credibility of the ECB's inflation target. Containing over 200,000 responses from German consumers collected between January 2019 and November 2024, our dataset enables...

Persistent link: https://www.econbiz.de/10015191733

Non-additivity of subjective expectations over different time intervals

Haan, Peter; Sun, Chen; Sunde, Uwe; Weizsäcker, Georg - 2022

We examine the additivity of stock-market expectations over different time intervals. When asked about a ten-year interval, survey respondents expect a stock-price change that is not equal to, but closer to zero than, the sum of their expectations over two shorter time intervals that cover the...

Persistent link: https://www.econbiz.de/10014088354

Coherent diversification measures in portfolio theory : an axiomatic foundation

Koumou, Gilles Boevi; Dionne, Georges - In: Risks : open access journal 10 (2022) 11, pp. 1-19

-dependent expected utility theory. We also test them against the two most frequently used methods for measuring correlation …We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model … these axioms coherent correlation diversification measures. We study the compatibility of our axioms with rank …

Persistent link: https://www.econbiz.de/10014225949

A probabilistic model of competitive multi-ecological interactions for analyzing the impact of noise within sight of aquatic hyacinth

Das, Kalyan; Murthy, B. S. N.; Kabir, M. Humayun; Gani, … - In: Decision analytics journal 7 (2023), pp. 1-14

a quantitative correlation between aquatic hyacinth and aquatic biomass. We analyze the stability of the steady states …

Persistent link: https://www.econbiz.de/10014436727