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Estimating population density distribution from network-based mobile phone data

Ricciato, Fabio (contributor); Craglia, Massimo (contributor) - European Commission / Joint Research Centre - 2016

In this study we address the problem of leveraging mobile phone network-based data for the task of estimating population density distribution at pan-European level. The primary goal is to develop a methodological framework for the collection and processing of network-based data that can be...

Persistent link: https://www.econbiz.de/10015294802

Estimating population density distribution from network-based mobile phone data

Ricciato, Fabio (contributor); Craglia, Massimo (contributor) - European Commission / Joint Research Centre - 2015

Persistent link: https://www.econbiz.de/10015300853

Correlation under stress in normal variance mixture models

Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456

Persistent link: https://www.econbiz.de/10011350602

Estimating the correlation between operational risk loss categories over different time horizons

Brown, Maurice L.; Ly, Cheng - In: The journal of operational risk 18 (2023) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10014490177

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Distribution of rankings for groups exhibiting heteroscedasticity and correlation

Gilbert, Scott - In: Journal of the American Statistical Association : JASA 98 (2003) 461, pp. 147-157

Persistent link: https://www.econbiz.de/10001754640

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Lucas, André - 2017

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10012968271

Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

these forecasts. In this paper we analyse these effects on the context of dynamic conditional correlation (DCC) models when … for return, volatilities, conditional correlation and VaR that is robust to outliers. The results are illustrated with …

Persistent link: https://www.econbiz.de/10012956168

WKB Approximation for the Sum of Two Correlated Lognormal Random Variables

Lo, Chi-Fai - 2013

In this paper we apply the idea of the WKB method to derive an effective single lognormal approximation for the probability distribution of the sum of two correlated lognormal variables. An approximate probability distribution of the sum is determined in closed form, and illustrative numerical...

Persistent link: https://www.econbiz.de/10013086536

Computing Discrete Mixtures of Continuous Distributions : Noncentral Chisquare, Noncentral and the Distribution of the Square of the Sample Multiple Correlation Coefficient

Benton, Denise - 2018

distribution of squared sample multiple correlation. We illustrate the need for improved algorithms by pointing out situations … distributions of the squared sample multiple correlation coefficient, noncentral , and noncentral chisquare, we apply the approach … the distributions of the squared sample multiple correlation coefficient, noncentral , and noncentral chisquare so that …

Persistent link: https://www.econbiz.de/10012924658