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Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10010490408

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

Modeling loss given default regressions

Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012500067

A new INAR(1) model for Z-valued time series using the relative binomial thinning operator

Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152

conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …

Persistent link: https://www.econbiz.de/10014514104

Addressing endogeneity without instrumental variables : an evaluation of the Gaussian Copula approach for management research

Eckert, Christine; Hohberger, Jan - In: Journal of management 49 (2023) 4, pp. 1460-1495

Persistent link: https://www.econbiz.de/10014246300

Hidden Markov Model using transaction patterns for ATM card fraud detection

Nkemnole, E. B.; Akinsete, A. A. - In: Theoretical and applied economics : GAER review 28 (2021) 4/629, pp. 51-70

Persistent link: https://www.econbiz.de/10013259025

Rectangular and wedge-shaped multivariate normal probabilities

Vijverberg, Wim P. M. - In: Economics letters 68 (2000) 1, pp. 13-20

Persistent link: https://www.econbiz.de/10001481917

An applied procedure for estimating and simulating multivariate empirical (MVE) probability distributions in farm-level risk assessment and policy analysis

Richardson, James W.; Klose, Steven L.; Gray, Allan W. - In: Journal of agricultural and applied economics 32 (2000) 2, pp. 299-315

Persistent link: https://www.econbiz.de/10001523282

Zweimodale hierarchische Clusteranalyse

Rix, Raimund - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001769361

Speculative processes and stable distributions : some simulation results

Charemza, Wojciech; Kominek, Zbigniew - In: Applied economics letters 10 (2003) 2, pp. 69-72

Persistent link: https://www.econbiz.de/10001747229