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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010
-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …
Persistent link: https://www.econbiz.de/10010270704
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Ultimate 100M World Records through Extreme-Value Theory
Einmahl, John H. J.; Smeets, Sander - 2009
endpoint of the speed distribution is estimated. The corresponding time can be interpreted as the estimated ultimate world …
Persistent link: https://www.econbiz.de/10014206380
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Time Varying Hierarchical Archimedean Copulae
Härdle, Wolfgang - 2017
-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …
Persistent link: https://www.econbiz.de/10012966304
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Ripple Effects : Sarbanes Oxley’s Impact upon Investor Risk in a Global Economy
Vakkur, Nicholas V. - 2012
Persistent link: https://www.econbiz.de/10013107974
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …
Persistent link: https://www.econbiz.de/10003953027
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
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Trade Potentials in Gravity Panel Data Models
De Benedictis, Luca; Vicarelli, Claudio - 2005
different results: (a) the average trade potential index poorly represents the distribution of yearly trade potentials; (b) the …
Persistent link: https://www.econbiz.de/10014073266
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The Informativeness of Stochastic Frontier and Programming Frontier Efficiency Scores : Cost Efficiency and Other Measures of Bank Holding Company Performance
Eisenbeis, Robert A. - 2015
frontier scores are more closely related to risk-taking behavior, managerial competence, and bank stock returns. Based on these …
Persistent link: https://www.econbiz.de/10013032677
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Countercyclical Fluctuations in Uncertainty are Endogenous
Bernstein, Joshua; Plante, Michael; Richter, Alexander W.; … - 2021
This paper uses a battery of calibrated and estimated structural models to determine the causal drivers of the negative correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while aggregate uncertainty endogenously responds to...
Persistent link: https://www.econbiz.de/10013219154
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Global Economic Uncertainty and the U.S. Equity Returns
Jahan-Parvar, Mohammad R.; Kitsul, Yuriy; Rahman, Jamil A. - 2021
We document the predictive ability and economic significance of global economic policy uncertainty for U.S. equity returns. After orthogonalizing global economic policy uncertainty (global EPU) with respect to the U.S. EPU, we find that it has significant predictive power for aggregate stock...
Persistent link: https://www.econbiz.de/10013242535