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Creditworthiness dynamics and Hidden Markov Models

Quirini, L.; Vannucci, L. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 323-330

Persistent link: https://www.econbiz.de/10010251710

Inference based on SVARs identified with sign and zero restrictions : theory and applications

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2014

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using structural vector autoregressions (SVAR) identified with sign and zero restrictions...

Persistent link: https://www.econbiz.de/10010240068

A risk-sensitive approach for stressed transition probability matrixes

Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74

Persistent link: https://www.econbiz.de/10011991970

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2017 - Rev. edition

Persistent link: https://www.econbiz.de/10011886419

Various versatile variances : an object-oriented implementation of clustered covariances in R

Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017

methods' performance in a simulation study. …

Persistent link: https://www.econbiz.de/10011697332

An introduction to understanding and teaching within-cluster correlation in complex surveys

Barreto, Humberto; Raghav, Manu - In: Eastern economic journal 43 (2017) 4, pp. 727-728

Persistent link: https://www.econbiz.de/10012244036

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …

Persistent link: https://www.econbiz.de/10012018487

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020

the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately …

Persistent link: https://www.econbiz.de/10012160012

Estimating asset correlations fromstock prices or default rates –which method is superior?

Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a … substantial downward bias characteristicof estimates based on default rates. Our results suggest that correlation estimates … explain the dierences in correlation estimates. Furthermore, ourresults help to quantify the estimation error of asset …

Persistent link: https://www.econbiz.de/10005866366

Utility of Graphic and Analytical Representation of Simple Correlation, Linear and Nonlinear in Hydro-climatic Data Analysis

GRIGORE, Elena; POIANA, Teodor Ionut - In: Romanian Statistical Review Supplement 61 (2013) 3, pp. 53-59

Through the appearance of analysis models was possible to simplify the graphical representation of the various processes of the hydrology, and also from the climatologic domain. Current scientific research imposed the deepening of operating mechanism and the way of manifestation of these...

Persistent link: https://www.econbiz.de/10010859914