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Localizing strictly proper scoring rules supplementary material on localizing strictly proper scoring rules
Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - In: CeNDEF working paper (2023) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10014377691
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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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Dynamic consumption and portfolio choice under prospect theory
Bilsen, Servaas van; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 91 (2020), pp. 224-237
Persistent link: https://www.econbiz.de/10012242015
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Editorial to the special issue on behavioral insurance : mathematics and economics
Laeven, Roger J. A.; Milevsky, Moshe Arye; Scherer, Matthias - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10012793905
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Semiparametric estimation of probability weighting functions implicit in option prices
Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025 - This version: March 19, 2025
This paper develops a semiparametric estimation method that jointly identifies the probability weighting and utility functions implicit in option prices. Our econometric method avoids direct specification of the objective conditional return distributions, which are instead obtained by...
Persistent link: https://www.econbiz.de/10015333127
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On the first-order efficiency and asymptotic normality of maximum likelihood estimators obtained form dependent observations
Heijmans, Risto D. H. - In: Statistica Neerlandica : journal of the Netherlands … 40 (1986) 3, pp. 169-188
Persistent link: https://www.econbiz.de/10001030764
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On the independence and identical distribution of points in tennis
Klaassen, Franc; Magnus, Jan R. - 1998
Persistent link: https://www.econbiz.de/10000986452
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A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance
Magnus, Jan R.; Durbin, James - 1996
Persistent link: https://www.econbiz.de/10000939772
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Asymptotic normality of maximum likelihood estimators obtained from normally distributed but dependent observations
Heijmans, Risto D. H. - In: Econometric theory 2 (1986) 3, pp. 374-412
Persistent link: https://www.econbiz.de/10001072739
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On the maximum likelihood estimation of multivariate regression models containing serially correlated error components
Magnus, Jan R. - In: International economic review 29 (1988) 4, pp. 707-725
Persistent link: https://www.econbiz.de/10001056049