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Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …

Persistent link: https://www.econbiz.de/10012025262

Fiscal policies and credit regimes : a TVAR approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013

In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...

Persistent link: https://www.econbiz.de/10009702294

Using survey data to forecast real activity with evolutionary algorithms : a cross-country analysis

Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Journal of applied economics 20 (2017) 2, pp. 329-349

Persistent link: https://www.econbiz.de/10011950622

Quantification of survey expectations by means of symbolic regression via genetic programming to estimate economic growth in Central and Eastern European economies

Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Eastern European economics 54 (2016) 2, pp. 171-189

Persistent link: https://www.econbiz.de/10011507863

Economic growth prediction using optimized support vector machines

Emsia, Elmira; Coskuner, Cagay - In: Computational economics 48 (2016) 3, pp. 453-462

Persistent link: https://www.econbiz.de/10011712511

Estimating stochastic production frontiers : a one-stage multivariate semiparametric Bayesian concave regression method

Preciado Arreola, José Luis; Johnson, Andrew L.; Chen, … - In: European journal of operational research : EJOR 287 (2020) 2, pp. 699-711

Persistent link: https://www.econbiz.de/10012293942

Dynamic optimal capital growth with risk constraints

Yong, Luo; Zhu, Bo; Yong, Tang - In: Economic modelling 30 (2013), pp. 586-594

Persistent link: https://www.econbiz.de/10009708829

Response surface methodology

Kleijnen, Jack P. C. - 2014

Persistent link: https://www.econbiz.de/10010387894

New Insights into Optimal Control of Nonlinear Dynamic Econometric Models : Application of a Heuristic Approach

Savin, Ivan - 2012

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

Persistent link: https://www.econbiz.de/10013103849

On a combination of convex risk minimization methods

Christmann, Andreas - In: Classification - the ubiquitous challenge : proceedings …, (pp. 434-441). 2005

Persistent link: https://www.econbiz.de/10003569550