標題: Titlebook: Econometrics of Risk; Van-Nam Huynh,Vladik Kreinovich,Komsan Suriya Book 2015 Springer International Publishing Switzerland 2015 Asset Pri [打印本頁] 作者: Inspection 時間: 2025-3-21 17:47
書目名稱Econometrics of Risk影響因子(影響力)
書目名稱Econometrics of Risk影響因子(影響力)學科排名
書目名稱Econometrics of Risk網(wǎng)絡(luò)公開度
書目名稱Econometrics of Risk網(wǎng)絡(luò)公開度學科排名
書目名稱Econometrics of Risk被引頻次
書目名稱Econometrics of Risk被引頻次學科排名
書目名稱Econometrics of Risk年度引用
書目名稱Econometrics of Risk年度引用學科排名
書目名稱Econometrics of Risk讀者反饋
書目名稱Econometrics of Risk讀者反饋學科排名
作者: Preamble 時間: 2025-3-21 22:27 作者: 辭職 時間: 2025-3-22 00:23
1860-949X new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks..978-3-319-38552-5978-3-319-13449-9Series ISSN 1860-949X Series E-ISSN 1860-9503 作者: lipoatrophy 時間: 2025-3-22 06:51 作者: Coeval 時間: 2025-3-22 09:38
Distortion Risk Measures Under Skew Normal Settingssion of skew normal distortion risk measure is coherent and its transform satisfies the classic capital asset pricing model. Properties of the stock price model under log-skewnormal and its transform are also studied. A simulation based on the skew normal transforms is given for a insurance payoff function.作者: 血友病 時間: 2025-3-22 13:50 作者: 血友病 時間: 2025-3-22 20:48
Quantile Regression Under Asymmetric Laplace?Distribution in Capital Asset Pricing?Modelle. Quantile regression estimation is equivalent to the parametric case where the error term is asymmetrically Laplace distributed. Finally, we use the method to measures the volatility of a portfolio relative to the market.作者: lanugo 時間: 2025-3-23 00:57
Conclusion, Criticism and Outlook, poor people clearly improves the overall economy but does not change the median. In this paper, we use known techniques from group decision making—namely, Nash’s bargaining solution—to come up with the most adequate measure of “average” income: geometric mean. On several examples, we illustrate how this measure works.作者: 鐵塔等 時間: 2025-3-23 04:18 作者: exclamation 時間: 2025-3-23 06:29
https://doi.org/10.1007/978-3-030-43457-1nd that the local gold returns demonstrate an inverted asymmetric reaction to positive and negative innovations respectively. Positive shock increases the gold returns volatility more than the negative shock in full sample as well as the stock market downside, thus supporting the hedge and safe haven properties of gold investment in Malaysia.作者: 閑聊 時間: 2025-3-23 10:38
From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account poor people clearly improves the overall economy but does not change the median. In this paper, we use known techniques from group decision making—namely, Nash’s bargaining solution—to come up with the most adequate measure of “average” income: geometric mean. On several examples, we illustrate how this measure works.作者: 相容 時間: 2025-3-23 14:31
Belief Aggregation in Financial Markets and the Nature of Price Fluctuationsfind that asset prices depend on both Gaussian parameters mean and variance of the market belief, but argue that the latter changes slower than the former. Consequently, price fluctuations are dominated by the covariance matrix of the market participants’ subjective beliefs about expected asset returns.作者: 剝削 時間: 2025-3-23 22:00
Asymmetric Volatility of Local Gold Prices in Malaysiand that the local gold returns demonstrate an inverted asymmetric reaction to positive and negative innovations respectively. Positive shock increases the gold returns volatility more than the negative shock in full sample as well as the stock market downside, thus supporting the hedge and safe haven properties of gold investment in Malaysia.作者: 把…比做 時間: 2025-3-24 00:02 作者: 斜谷 時間: 2025-3-24 04:00 作者: 世俗 時間: 2025-3-24 06:39 作者: slipped-disk 時間: 2025-3-24 11:01
1860-949X tary material: .This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econo作者: Isthmus 時間: 2025-3-24 17:35
Dirk S?hnholz,Sascha Rieken,Dieter G. Kaiser distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994–2008.作者: 人類 時間: 2025-3-24 23:04 作者: grenade 時間: 2025-3-25 00:53
David Baglee,Michael Knowles,Chi-Yung Yauween complete dependence and independence copulas. A pointwise version of Kendall’s tau is also proposed and shown to distinguish between comonotonicity and countermonotonicity for complete dependence copulas.作者: BINGE 時間: 2025-3-25 04:16 作者: Antigen 時間: 2025-3-25 09:26 作者: AROMA 時間: 2025-3-25 13:16
https://doi.org/10.1007/978-1-4842-1365-0first cdf is larger. In this paper, we show that in such situations of approximate stochastic dominance, we can also conclude that the first alternative is better—provided that the set of points . at which the first cdf is larger is sufficiently small.作者: 要求比…更好 時間: 2025-3-25 16:02
Asset Management for Infrastructure Systemsinally, we use the method to measures the volatility of a portfolio relative to the market, size and value premium. It should be noted that a complete study of quantile regression models with various error distributions is of great interests for applications.作者: 植物群 時間: 2025-3-26 00:01 作者: 朝圣者 時間: 2025-3-26 03:40 作者: MOTTO 時間: 2025-3-26 05:20
Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplinally, we use the method to measures the volatility of a portfolio relative to the market, size and value premium. It should be noted that a complete study of quantile regression models with various error distributions is of great interests for applications.作者: Anecdote 時間: 2025-3-26 09:18
Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes ProcessTACs branching ratio is at 55?%, meaning DTACs price change is 55?% due to internal factors and 45?% due to external. Knowing to what extent the stock price is affected by external factors can strengthen investor strategy. Stocks with a low branching ratio are more speculative than those having a high branching ratio.作者: 商議 時間: 2025-3-26 15:15 作者: 藐視 時間: 2025-3-26 19:21 作者: Inordinate 時間: 2025-3-26 23:02
Claus D. Eck,Hans J?ri,Marlène VogtWe consider panel financial analysis from a statistical perspective. We discuss some main findings and challenges in the area of (i) estimating standard errors; (ii) joint dependence; (iii) to pool or not to pool; (iv) aggregation and predictions; (v) modeling cross-sectional dependence; and (vi) multiple-dimensional statistics.作者: Rustproof 時間: 2025-3-27 04:45 作者: 寄生蟲 時間: 2025-3-27 06:19
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Ratesainst the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line trading. The Bitcoin/USD exchange rates are modelled and predicted.作者: Nmda-Receptor 時間: 2025-3-27 10:50
An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis adjustments forced on the BSM model by the 2008 credit crisis to maintain the relevance of the model. The inclusion of credit value adjustment (CVA), debit value adjustment (DVA), funding value adjustment (FVA) and the posting of collateral in the BSM model are discussed.作者: 鎮(zhèn)痛劑 時間: 2025-3-27 15:10 作者: Tempor 時間: 2025-3-27 20:53
Towards Generalizing Bayesian Statistics: A Random Fuzzy Set Approachore robust. The approach is based upon viewing the unknown parameter as a random fuzzy set. To achieve this point of view, we elaborate on the concept of coarsening schemes for gathering experts’ opinion, how to combine experts’ opinion, and how to define rigorously the concept of random fuzzy sets.作者: misshapen 時間: 2025-3-28 00:54 作者: invert 時間: 2025-3-28 05:16
Studies in Computational Intelligencehttp://image.papertrans.cn/e/image/301471.jpg作者: 圓錐體 時間: 2025-3-28 06:25 作者: 整理 時間: 2025-3-28 12:10 作者: climax 時間: 2025-3-28 16:23 作者: 反復無常 時間: 2025-3-28 19:35 作者: mosque 時間: 2025-3-29 00:18
Asset Allocation Strategies for Mutual Fundsng in a dynamically consistent way individual subjective beliefs of the market participants, which are likewise assumed to follow normal distributions. We apply this model to a market of traders with standard CARA preferences with the aim of identifying an intrinsic source of price fluctuations. We 作者: OGLE 時間: 2025-3-29 03:48
Dirk S?hnholz,Sascha Rieken,Dieter G. Kaisers a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjusted measure of performance. We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles)作者: giggle 時間: 2025-3-29 08:58 作者: 茁壯成長 時間: 2025-3-29 13:53 作者: Expertise 時間: 2025-3-29 18:20 作者: 不足的東西 時間: 2025-3-29 21:50
David Baglee,Michael Knowles,Chi-Yung Yaues are proved. These local Kendall’s taus are computed for some shuffles of Min and the Farlie-Gumbel-Morgenstern copulas and shown to distinguish between complete dependence and independence copulas. A pointwise version of Kendall’s tau is also proposed and shown to distinguish between comonotonici作者: Anguish 時間: 2025-3-30 00:55
Stephen E. Satchell,Soosung Hwanghood function. For prediction, the method is based on an equation linking the unobserved random quantity to be predicted, to the parameter and some underlying auxiliary variable with known distribution. The approach allows us to compute a predictive belief function that reflects both estimation and 作者: 思想 時間: 2025-3-30 06:46
Alireza Mohammadi,Luis Amador Jimeneze?applied the Classifier Chain (CC) method to transform the Generalized Maximum Entropy (GME) choice model from a single-label model to a multi-label model. The contribution of our CC-GME model lies in the advantages of both the GME and CC models. Specifically, the GME model can not only predict eac作者: 原諒 時間: 2025-3-30 11:29
https://doi.org/10.1007/978-3-030-43457-1er analyzes the asymmetric reaction of gold in different weights to negative and positive news on average at all times as well as during extreme decreases in stock market. The former provides potential evidence for hedge, while the latter tests for the existence of a safe haven characteristic. We fi作者: 切碎 時間: 2025-3-30 14:25 作者: 非實體 時間: 2025-3-30 16:51 作者: MUTED 時間: 2025-3-30 22:43
https://doi.org/10.1007/978-3-642-54939-7ge of Thailand (SET). The branching ratio is the parameter defined in the Hawkes process and directly measures the influential degree of endogeneity. The results indicate to what extent the stock price changes are affected by internal factors. The study found that the branching ratio of ADVANC is at
