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Modeling dependencies in finance using copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10010274147
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Assessment of climate change impacts and adaptation : a methodological review and application to Indian agriculture
Pattanayak, Anubhab; Kumar, K. S. Kavi - 2019
Persistent link: https://www.econbiz.de/10012149614
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Analytical SCUC/SCED optimization formulation for AMES V5.0
Tesfatsion, Leigh; Battula, Swathi - 2020 - Revision: July 2, 2020
Persistent link: https://www.econbiz.de/10012243396
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Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models
Teymurzade, Sahil; Ślepaczuk, Robert - 2023
Persistent link: https://www.econbiz.de/10014448266
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Effects of Hostility Tradition in Antitrust: Leniency Programs and Cooperation Agreements
Pavlova, Natalia; Shastitko, Andrey - 2014
The article focuses on the effects that type I errors can have on the incentives of firms to compete, collude or engage … in efficiency promoting socially beneficial cooperation. Our results confirm that in the presence of type I errors the … type I enforcement errors can have on social welfare when applied to the regulation of horizontal agreements. …
Persistent link: https://www.econbiz.de/10011380911
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Noise and bias in eliciting preferences
Hey, John Denis; Morone, Andrea; Schmidt, Ulrich - 2007
In the context of eliciting preferences for decision making under risk, we ask the question: "which might be the 'best' method for eliciting such preferences?". It is well known that different methods differ in terms of the bias in the elicitation; it is rather less well-known that different...
Persistent link: https://www.econbiz.de/10010272943
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An experimental investigation of violations of transitivity in choice under uncertainty
Birnbaum, Michael H.; Schmidt, Ulrich - 2008
Several models of choice under uncertainty imply systematic violations of transitivity of preference. Our experiments explored whether people show patterns of intransitivity predicted by these models. To distinguish "true" violations from those produced by "error", a model was fit in which each...
Persistent link: https://www.econbiz.de/10010273147
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Empirical Tests of Intransitivity Predicted by Models of Risky Choice
Birnbaum, Michael H.; Schmidt, Ulrich - 2006
Recently proposed models of risky choice imply systematic violations of transitivity of preference. Five studies explored whether people show patterns of intransitivity predicted by four descriptive models. To distinguish ?true? violations from those produced by ?error,? a model was fit in which...
Persistent link: https://www.econbiz.de/10010296263
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Transitivity in health utility measurement: An experimental analysis
Schmidt, Ulrich; Stolpe, Michael - 2008
. A particular feature of our experimental design is that it takes into account the possible role of decision errors in …
Persistent link: https://www.econbiz.de/10010278001
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Allais paradoxes can be reversed by presenting choices in canonical split form
Birnbaum, Michael H.; Schmidt, Ulrich - 2010
random response variation might be responsible for these two effects. When errors are factored out, violations of restricted …
Persistent link: https://www.econbiz.de/10010278006