Selected Topics On Nonparametric Conditional Quantiles And Risk Theory
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Selected Topics On Nonparametric Conditional Quantiles And Risk Theory
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Author : Yebin Cheng
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Selected Topics On Nonparametric Conditional Quantiles And Risk Theory written by Yebin Cheng and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
The Dynamics Of Cooperate Credit Risk An Intensity Based Econometric
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Author :
language : en
Publisher: Rozenberg Publishers
Release Date : 2008
The Dynamics Of Cooperate Credit Risk An Intensity Based Econometric written by and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays On The Measurements Sensitivity Of Risk Aversion And Causal Effects In Education
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Author : Adam Sanoé Booij
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Essays On The Measurements Sensitivity Of Risk Aversion And Causal Effects In Education written by Adam Sanoé Booij and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Efficient Pricing Algorithms For Exotic Derivatives
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Author : Roger Lord
language : en
Publisher: Rozenberg Publishers
Release Date : 2008
Efficient Pricing Algorithms For Exotic Derivatives written by Roger Lord and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Kahnemann And Tversky And The Making Of Behavioral Economics
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Author : Floris Heukelom
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Kahnemann And Tversky And The Making Of Behavioral Economics written by Floris Heukelom and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Rationalised Panics The Consequences Of Strategic Uncertainty During Financial Crisis
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Author : Tijmen Roderik Danie͏̈ls
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Rationalised Panics The Consequences Of Strategic Uncertainty During Financial Crisis written by Tijmen Roderik Danie͏̈ls and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Forecasting Financial Time Series Using Model Averaging
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Author : Francesco Ravazzolo
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Essays On Consumer Search And Interlocking Directorates
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Author : Silva Deželan
language : en
Publisher: Rozenberg Publishers
Release Date : 2001
Essays On Consumer Search And Interlocking Directorates written by Silva Deželan and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Information is crucial to make good decisions, but obtaining and providing information often comes at a cost. Consumers and firms both need to balance these costs and benefits of obtaining and providing information in order to make the best decisions. The research in this thesis investigates several questions that pertain to the acquisition and provision of information. In the first part of this thesis it is assumed that consumers are not fully informed about the prices or availability of a product they want to buy. Consumers can search for information, but this comes at a cost. At the same time, shops can influence these costs. In the first two studies in this part, shops have the possibility to advertise. An advertisement provides information to consumers and reduces the search costs. We investigate, among other things, the pricing behavior of shops and the relation between search and advertising. The third study in this part of the thesis considers the location choice of shops. Locating together in a shopping mall reduces the search costs of consumers. This increases the competition between shops and lowers the prices, but we show that at the same time the sales volume increases. The total effect of locating together on profits is generally positive. The second part of this thesis considers director ties (also named interlocks). A director who has several directorships in different firms can serve as an information bridge between the different firms. At the same time, interlocking directors are busy and form a homogenous group. Data from the Netherlands show that in The Netherlands the positive information providing effect of interlocks is outweighed by a negative busyness and homogenous group effect.
Maintenance Models For Systems Subject To Measurable Deterioration
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Author : Robin Pieter Nicolai
language : en
Publisher: Rozenberg Publishers
Release Date : 2008
Maintenance Models For Systems Subject To Measurable Deterioration written by Robin Pieter Nicolai and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Banks and banking, Central categories.
Complex engineering systems such as bridges, roads, flood defence structures, and power pylons play an important role in our society. Unfortunately such systems are subject to deterioration, meaning that in course of time their condition falls from higher to lower, and possibly even to unacceptable, levels. Maintenance actions such as inspection, local repair and replacement should be done to retain such systems in or restore them to acceptable operating conditions. After all, the economic consequences of malfunctioning infrastructure systems can be huge. In the life-cycle management of engineering systems, the decisions regarding the timing and the type of maintenance depend on the temporal uncertainty associated with the deterioration. Hence it is of importance to model this uncertainty. In the literature, deterioration models based on Brownian motion and gamma process have had much attention, but a thorough comparison of these models lacks. In this thesis both models are compared on several aspects, both in a theoretical as well as in an empirical setting. Moreover, they are compared with physical process models, which can capture structural insights into the underlying process. For the latter a new framework is developed to draw inference. Next, models for imperfect maintenance are investigated. Finally, a review is given for systems consisting of multiple components.
A Walk Down Lombard Street
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Author : Lev Ratnovski
language : en
Publisher: Rozenberg Publishers
Release Date : 2001
A Walk Down Lombard Street written by Lev Ratnovski and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
