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Following the framework in Oliva et al. 1987, GEMCAT II implements a flexible method to test catastrophe models containing multivariate (i.e., latent) variables while allowing for a priori variable specifications. The system uses an efficient hybrid minimization algorithm combining the Downhill...
Persistent link: https://www.econbiz.de/10005579849
Estimating the spatial organization of cities yields insights into interactions over a spatial structure, and thus creating efficient subcenters with more balanced distribution of travel patterns over urban agglomerations can be exercised via models which support an evidence-based spatial...
Persistent link: https://www.econbiz.de/10012047438
Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...
Persistent link: https://www.econbiz.de/10010841041
The current study contributes to the already substantial scholarly literature on telecommuting by estimating a joint model of three dimensions—option, choice and frequency of telecommuting. In doing so, we focus on workers who are not self-employed workers and who have a primary work place...
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In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...
Persistent link: https://www.econbiz.de/10010266194
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Empirical data show during the historical process of economic development profound structural changes in economy. One of the most important movements is from stages where the so-called tangible investments are predominant to those where intangible investments become predominant. Applying some...
Persistent link: https://www.econbiz.de/10005623221
The new business cycle three-dimensional model is formulated on the basis of new system approach known as the Method of Systems Potential. Cyclical dynamics with catastrophe jumps (alike to N.Kaldor (1940) model) and some stochastic properties is described. Properties of such cycles are similar...
Persistent link: https://www.econbiz.de/10005407733