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Year of publication
Subject
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Random variable 201 Zufallsvariable 200 Theorie 103 Theory 103 random variable 67 equation 56 probability 56 equations 44 Economic models 43 statistics 43 correlation 40 probabilities 35 covariance 34 normal distribution 31 standard deviation 29 time series 29 econometrics 28 samples 28 survey 27 probability distribution 26 statistic 25 prediction 24 random variables 24 correlations 23 standard errors 23 computation 21 Inventory model 20 Lagerhaltungsmodell 20 forecasting 20 predictions 18 logarithm 17 autocorrelation 16 sample size 16 standard deviations 16 United States 15 optimization 15 USA 14 probability density 14 sampling 14 calibration 13
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Online availability
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Free 106 Undetermined 20
Type of publication
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Book / Working Paper 137 Article 136
Type of publication (narrower categories)
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Article in journal 111 Aufsatz in Zeitschrift 111 Graue Literatur 55 Non-commercial literature 55 Arbeitspapier 49 Working Paper 49 Aufsatz im Buch 20 Book section 20 Hochschulschrift 8 Thesis 6 Amtsdruckschrift 4 Government document 4 Case study 1 Collection of articles written by one author 1 Dissertation u.a. Prüfungsschriften 1 Fallstudie 1 Konferenzschrift 1 Lehrbuch 1 Sammlung 1
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Language
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English 236 Undetermined 21 German 13 French 2 Polish 1
Author
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Nadarajah, Saralees 6 Duflo, Esther 5 Glennerster, Rachel 5 Kremer, Michael 5 Chan-Lau, Jorge A. 4 Hellmann, Tobias 4 Krichene, Noureddine 4 Mirestean, Alin 4 Chesher, Andrew 3 Glen, Andrew G. 3 McCausland, William J. 3 Quitzau, Jörn 3 Riedel, Frank 3 Schmidt, Klaus D. 3 Tsangarides, Charalambos G. 3 Weron, Rafal 3 Wooldridge, Jeffrey M. 3 Andersen, Kim Allan 2 Avesani, Renzo G. 2 Basurto, Miguel A. Segoviano 2 Boz, Emine 2 Cai, Xiaoqiang 2 Capuano, Christian 2 Cashin, Paul 2 Castro, Luciano I. de 2 Chen, Huigang 2 Cipriani, Marco 2 Devereux, Michael B. 2 Dey, Oshmita 2 Dwyer, Gerald P. <jun.> 2 Ehrgott, Matthias 2 Feng, Zhao 2 Friebel, Ludvík 2 Friebelová, Jana 2 Gao, Jianwei 2 Grasdal, Astrid 2 Guarino, Antonio 2 Hensher, David A. 2 Karlsson, Sune 2 Kloberdanz, Kathrin 2
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Institution
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International Monetary Fund (IMF) 62 Centre for Microdata Methods and Practice <London> 3 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Université de Montréal / Département de sciences économiques 2 Center for Economic Research <Tilburg> 1 Deutschland / Bundeswehr / Universität Hamburg 1 HAL 1 London School of Economics and Political Science 1 MASTER CONSULTORES 1 Sosialøkonomisk Institutt 1 Springer International Publishing AG 1 Technische Universität Dresden 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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IMF Working Papers 62 International journal of production economics 17 International journal of production research 10 Econometric theory 4 Série des documents de travail / Centre de Recherche en Économie et Statistique 4 Transportation research / E : an international journal 4 CEMMAP working papers / Centre for Microdata Methods and Practice 3 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 3 Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty 3 Operations research letters 3 Zeitschrift für die gesamte Versicherungswissenschaft : Zeitschrift des Deutschen Vereins für Versicherungswissenschaft e.V. 3 Advances in statistical analysis : AStA ; a journal of the German Statistical Society 2 Advancing the frontiers of simulation : a Festschrift in honor of George Samual Fishman 2 Annales d'économie et de statistique 2 Cahier / Départment de Sciences Économiques, Université de Montréal 2 Computational probability applications 2 Computers & operations research : and their applications to problems of world concern ; an international journal 2 Conjoint measurement : methods and applications 2 Decisions in economics and finance : DEF ; a journal of applied mathematics 2 Discussion paper / Center for Economic Research, Tilburg University 2 Discussion paper / Center for Mathematical Studies in Economics and Management Science, Northwestern University 2 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 2 HSC Research Reports 2 Insurance / Mathematics & economics 2 International journal of theoretical and applied finance 2 International series in operations research & management science 2 Journal of the Operational Research Society : OR 2 Management science : journal of the Institute for Operations Research and the Management Sciences 2 Mathematical social sciences 2 Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics 2 Simulation 2 The journal of operational risk 2 Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung 2 Working paper / National Bureau of Economic Research, Inc. 2 2007 Business & Economics Society International Conference ; Vol. 1 1 Acta Universitatis Bohemiae Meridionales 1 Advances in investment analysis and portfolio management : a research annual 1 Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society 1 Annali della Facoltà di Economia 1 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1
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Source
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ECONIS (ZBW) 199 RePEc 71 USB Cologne (EcoSocSci) 2 BASE 1
Showing 1 - 50 of 273
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New Deterministic Solution to a chance constrained linear programming model with Weibull Random Coefficients
Ismail, Maha; El-Hefnawy, Ali; Saad, Abd El-Naser - In: Future Business Journal 4 (2018) 1, pp. 109-120
Linear Programming model is an important tool used to solve constrained optimization problems. In fact, the real life problems are usually occurring in the presence of uncertainty. For instance, in managerial problems of assigning employees to different tasks with the aim of minimizing the total...
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A theory of experimenters
Banerjee, Abhijit V.; Chassang, Sylvain; Montero, Sergio; … - 2017
This paper proposes a decision-theoretic framework for experiment design. We model experimenters as ambiguity-averse decision-makers, who make trade-offs between subjective expected performance and robustness. This framework accounts for experimenters' preference for randomization, and clarifies...
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Decision behavior in supply chains with random production yields
Clemens, Josephine - 2017
Dealing with supply risks is one of the challenges of decision makers in supply chains as producing and sourcing become more and more complex. Theoretical research on different types of supply uncertainty as well as their management is well covered. Behavioral aspects in this context, however,...
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A new approach of stochastic dominance for ranking transformations on the discrete random variable
Gao, Jianwei; Feng, Zhao - 2017
This paper presents some new stochastic dominance (SD) criteria for ranking transformations on a random variable, which is the first time that this is done for transformations under the discrete framework. By using the expected utility theory, the authors first propose a sufficient condition for...
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A fuzzy random integrated inventory model with imperfect production under optimal vendor investment
Dey, Oshmita - In: Operational research : an international journal 19 (2019) 1, pp. 101-115
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Practical aspects of modelling parameter uncertainty for risk capital calculation
Blanco, David; Weng, Annegret - In: Zeitschrift für die gesamte Versicherungswissenschaft … 108 (2019) 1, pp. 43-62
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Heads or tails : the impact of a coin toss on major life decisions and subsequent happiness
Levitt, Steven D. - 2016
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Essays on the Foster-Hart measure of riskiness and ambiguity in real options games
Hellmann, Tobias - 2016
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A new approach of stochastic dominance for ranking transformations on the discrete random variable
Gao, Jianwei; Feng, Zhao - 2016
This paper develops some new stochastic dominance (SD) rules for ranking transformations on a random variable, which is the first time to study ranking approach for transformations on the discrete framework. By using the expected utility theory, the authors first present a sufficient condition...
Persistent link: https://ebtypo.dmz1.zbw/10011572427
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Optimal age replacement scheduling for a random work system with random lead time
Chang, Chin-Chih - In: International journal of production research 56 (2018) 16, pp. 5511-5521
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Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106
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Model-based and empirical analyses of stochastic fluctuations in economy and finance
Zadourian, Rubina - 2018
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An axiomatic approach to measuring degree of stochastic dominance
Kamihigashi, Takashi; Stachurski, John - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010476440
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A dynamic extension of the Foster-Hart measure of riskiness
Hellmann, Tobias; Riedel, Frank - 2014
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Risk hedging via option contracts in a random yield supply chain
Luo, Jiarong; Chen, Xu - In: Innovative supply chain optimization models with …, (pp. 697-719). 2017
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Imprecise stochastic orders and fuzzy rankings
Montes, Ignacio; Miranda, Enrique; Montes, Susana - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 3, pp. 297-327
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Computational probability : algorithms and applications in the mathematical sciences
Drew, John H.; Evans, Diane L.; Glen, Andrew G.; … - 2017 - Second edition
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The power of moments : why certain experiences have extraordinary impact
Heath, Chip; Heath, Dan - 2017 - Large print edition
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Accurate estimation with one order statistic
Glen, Andrew G. - In: Computational probability applications, (pp. 1-13). 2017
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Order statistics in goodness-of-fit testing
Glen, Andrew G.; Barr, Donald R.; Leemis, Lawrence M. - In: Computational probability applications, (pp. 31-39). 2017
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Optimal assignment of sellers in a store with a random number of clients via the Armed Bandit model
Vázquez-Guevara, Víctor Hugo; Cruz-Suárez, Hugo; … - In: RAIRO / Operations research 51 (2017) 4, pp. 1118-1132
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Introduction to quantitative methods in business : with applications using Microsoft® Office Excel®
Kolluri, Bharat R.; Panik, Michael J.; Singamsetti, Rao N. - 2017
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The Foster-Hart measure of riskiness for general gambles : conference paper
Riedel, Frank; Hellmann, Tobias - 2013
Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many...
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Transformation of an empirical distribution to normal distribution by the use of Johnson system of translation and symmetrical quantile method
Friebel, Ludvík; Friebelová, Jana - 2012
This article deals with approximation of empirical distribution to standard normal distribution using Johnson transformation. This transformation enables us to approximate wide spectrum of continuous distributions with a normal distribution. The estimation of parameters of transformation...
Persistent link: https://ebtypo.dmz1.zbw/10011315938
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Building portfolios of stocks in the São Paulo stock exchange using Random Matrix Theory
Sandoval Junior, Leonidas; Bortoluzzo, Adriana Bruscato; … - 2012
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Anybody can do value at risk : a teaching study using parametric computation and Monte Carlo simulation
Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 101-118
Persistent link: https://ebtypo.dmz1.zbw/10010244995
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From Stress to Costress; Stress Testing Interconnected Banking Systems
Maino, Rodolfo; Tintchev, Kalin - International Monetary Fund (IMF) - 2012
This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...
Persistent link: https://ebtypo.dmz1.zbw/10009654147
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Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing
Lucchetta, Marcella; Nicoló, Gianni De - International Monetary Fund (IMF) - 2012
This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk...
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Bank Capitalization As a Signal
Hardy, Daniel C. - International Monetary Fund (IMF) - 2012
The level of a bank‘s capitalization can effectively transmit information about its riskiness and therefore support market discipline, but asymmetry information may induce exaggerated or distortionary behavior: banks may vie with one another to signal confidence in their prospects by...
Persistent link: https://ebtypo.dmz1.zbw/10011142191
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Construction material safety-stock determination under nonstationary stochastic demand and random supply yield
Lu, Hui; Wang, Hongwei; Xie, Yong; Li, Heng - In: IEEE transactions on engineering management : EM 63 (2016) 2, pp. 201-212
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Planning and optimization of intermodal hub-and-spoke network under mixed uncertainty
Yang, Kai; Yang, Lixing; Gao, Ziyou - In: Transportation research / E : an international journal 95 (2016), pp. 248-266
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Assoziation in inhomogenen kategorialen Prozessen
Pleier, Thomas - 2016
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Evaluating operational risk by an inhomogeneous counting process based on Panjer recursion
Jiménez, José Alfredo; Arunachalam, Viswanathan - In: The journal of operational risk 11 (2016) 1, pp. 1-21
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Randomization in contracts with endogenous information
Terstiege, Stefan - 2011
I consider a situation, where the agent can acquire payoff-relevant information either before or after the contract is signed. To raise efficiency, the principal might solicit information; to retain all surplus, however, she must prevent precontractual information gathering. The following class...
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Generating ordinal data
Ferrari, Pier Alda; Barbiero, Alessandro - 2011
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INTEGRAL TRANSFORMS WITH THE HOMOTOPY PERTURBATION METHOD AND SOME APPLICATIONS
Kamdem, Jules Sadefo - HAL - 2011
This paper applies He's homotopy perturbation method to compute a large variety of integral transforms. As illustration, the paper gives special attention to the Esscher transform, the Fourier transform, the Hankel transform, the Mellin transform, the Stieljes transform and some applications.
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Conformism and Public News
Rochon, Céline; Desgranges, Gabriel - International Monetary Fund (IMF) - 2011
We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private...
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Exploration of the Brazilian Term Structure in a Hidden Markov Framework
Munclinger, Richard - International Monetary Fund (IMF) - 2011
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high...
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Shocks, Financial Dependence, and Efficiency; Evidence From U.S. and Canadian Industries
Estevão, Marcello M.; Severo, Tiago - International Monetary Fund (IMF) - 2011
The paper investigates how changes in industries' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, and using industries' dependence on external funding as an identification mechanism, we show that...
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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
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An interval approach based on expectation optimization for fuzzy random bilevel linear programming problems
Ren, Aihong; Wang, Yuping - In: Journal of the Operational Research Society : OR 66 (2015) 12, pp. 2075-2085
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Continuous review inventory model with reducing lost sales rate under fuzzy stochastic demand and variable lead time
Soni, Hardik N.; Patel, Kamlesh A. - In: International journal of procurement management 8 (2015) 5, pp. 546-569
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A multi-objective bi-level location planning problem for stone industrial parks
Gang, Jun; Tu, Yan; Lev, Benjamin; Xu, Jiuping; Shen, … - In: Computers & operations research : and their … 56 (2015), pp. 8-21
Persistent link: https://ebtypo.dmz1.zbw/10010495464
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A dynamic extension of the Foster-Hart measure of riskiness
Hellmann, Tobias; Riedel, Frank - In: Journal of mathematical economics 59 (2015), pp. 66-70
Persistent link: https://ebtypo.dmz1.zbw/10011573463
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On a fuzzy cash flow model with insurance applications
Ungureanu, Daniela; Vernic, Raluca - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 1, pp. 39-54
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The bounds of premium and optimality of stop loss insurance under uncertain random environments
Liu, Ying; Li, Xiaozhong; Liu, Yinli - In: Insurance / Mathematics & economics 64 (2015), pp. 273-278
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The similarity between the square of the coefficient of variation and the Gini index of a general random variable
González Abril, Luis; Velasco Morente, Francisco; … - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 5-18
In this paper, several identities concerning expectation, variance, covariance, cumulative distribution functions, the coefficient of variation, and the Lorenz curve are obtained and they are used in establishing theoretical results. Furthermore, a graphical representation of the variance is...
Persistent link: https://ebtypo.dmz1.zbw/10009124114
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Affiliation, equilibrium existence and revenue ranking of auctions
Castro, Luciano I. de - 2010
Affiliation has been a prominent assumption in the study of economic models with statistical dependence. Despite its large number of applications, especially in auction theory, affiliation has limitations that are important to be aware of. This paper shows that affiliation is a restrictive...
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Estimating a Structural Model of Herd Behavior in Financial Markets
Guarino, Antonio; Cipriani, Marco - International Monetary Fund (IMF) - 2010
We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate...
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A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Cheng, Kevin C. - International Monetary Fund (IMF) - 2010
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...
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