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Stationarity and ergodicity of Markov switching positive conditional mean models

Aknouche, Abdelhakim; Francq, Christian - 2020

A general Markov-Switching autoregressive conditional mean model, valued in the set of nonnegative numbers, is considered. The conditional distribution of this model is a finite mixture of nonnegative distributions whose conditional mean follows a GARCH-like dynamics with parameters depending on...

Persistent link: https://www.econbiz.de/10015216199

Practical Considerations for Questionable IVs

Clarke, Damian; Matta, Benjamín - 2017

This paper examines a number of techniques which allow for the construction of bounds estimates based on instrumental variables (IVs), even when the instruments are not valid. The plausexog and imperfectiv commands are introduced, which implement methods described by Conley et al. (2012) and...

Persistent link: https://www.econbiz.de/10015256580

The theory of dual co~event means

Vorobyev, Oleg Yu. - 2016

This work is the third, but not the last, in the cycle begun by the works [23, 22] about the new theory of experience … and chance as the theory of co~events. Here I introduce the concepts of two co~event means, which serve as dual co … that then, within the framework of the theory of experience and of chance, the idea can finally get the opportunity to …

Persistent link: https://www.econbiz.de/10015257754

Behavioral economics and auto-images of distributions of random variables

Harin, Alexander - 2017

Distributions of random variables defined on finite intervals were considered in connection with some problems of behavioral economics. To develop the results obtained for finite intervals, auto-image distributions of random variables defined on infinite or semi-infinite intervals are proposed...

Persistent link: https://www.econbiz.de/10015258462

Future developments in cyber risk assessment for the internet of things

Radanliev, Petar; De Roure, David; Nicolescu, Razvan; … - 2018

This article is focused on the economic impact assessment of Internet of Things (IoT) and its associated cyber risks vectors and vertices – a reinterpretation of IoT verticals. We adapt to IoT both the Cyber Value at Risk model, a well-established model for measuring the maximum possible loss...

Persistent link: https://www.econbiz.de/10015263316

Resolutions to flip-over credit risk and beyond

Yang, Bill Huajian - 2019

Abstract Given a risk outcome y over a rating system {R_i }_(i=1)^k for a portfolio, we show in this paper that the maximum likelihood estimates with monotonic constraints, when y is binary (the Bernoulli likelihood) or takes values in the interval 0≤y≤1 (the quasi-Bernoulli likelihood), are...

Persistent link: https://www.econbiz.de/10015263811

IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses

Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - 2019

Estimation of portfolio expected credit loss is required for IFRS9 regulatory purposes. It starts with the estimation of scenario loss at loan level, and then aggregated and summed up by scenario probability weights to obtain portfolio expected loss. This estimated loss can vary significantly,...

Persistent link: https://www.econbiz.de/10015263936

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738

Does democracy guarantee the resilience of African economies? Analysis based on a duration model

Koffi, Siméon - 2022

Based on a panel of 144 developing countries for the period from 1960 to 2020 and using the duration model, our estimates focused on two (02) groups of countries, namely African countries, and countries outside Africa. For the latter, the results showed that democracy is a factor that...

Persistent link: https://www.econbiz.de/10015268310

State-dependent asset allocation using neural networks

Bradrania, Reza; Pirayesh Neghab, Davood - 2021

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Persistent link: https://www.econbiz.de/10015268899