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Persistent link: https://www.econbiz.de/10011740634

Density forecasting using Bayesian global vector autoregressions with stochastic volatility

Huber, Florian - In: International journal of forecasting 32 (2016) 3, pp. 818-837

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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

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On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays

Woo, Jae-Kyung - In: Insurance / Mathematics & economics 70 (2016), pp. 354-363

Persistent link: https://www.econbiz.de/10011597325

The wealth distribution in Bewley economies with capital income risk

Benhabib, Jess; Bisin, Alberto; Zhu, Shenghao - In: Journal of economic theory 159 (2015), pp. 489-515

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Comment on "imitation processes with small mutations : (j. econ. theory 131 (2006) 251-262)

McAvoy, Alex - In: Journal of economic theory 159 (2015), pp. 66-69

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Quantification of VaR : a note on VaR valuation in the South African equity market

Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 103-126

The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...

Persistent link: https://www.econbiz.de/10011552897

Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas

Avanzi, Benjamin; Tao, Jamie; Wong, Bernard; Yang, Xinda - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 1, pp. 87-117

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Condition-based maintenance using the inverse Gaussian degradation model

Chen, Nan; Ye, Zhi-Sheng; Xiang, Yisha; Zhang, Linmiao - In: European journal of operational research : EJOR 243 (2015) 1, pp. 190-199

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Identification of mixed causal-noncausal models in finite samples

Hecq, Alain W. J.; Lieb, Lenard; Telg, Sean - In: Annals of economics and statistics 123/124 (2016), pp. 307-331

Persistent link: https://www.econbiz.de/10011592754