Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Andrija Mihoci"'
Publikováno v:
Administrative Sciences, Vol 12, Iss 4, p 143 (2022)
Our paper examines the impact of training outputs and employment factors on several facets of employee performance while supporting managerial decision-making in the banking sector. First, we introduce four performance measures in individual producti
Externí odkaz:
https://doaj.org/article/3298de151f9c4790b61ffb30581d42ad
Publikováno v:
Digital Finance. 4:89-108
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c114b61086f75cdc507a2379d4d6838d
https://doi.org/10.1007/s42521-021-00047-1
https://doi.org/10.1007/s42521-021-00047-1
Publikováno v:
Quantitative Finance. 21:449-460
We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is de...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98080a76fea4439abe1e1550d77fd8d7
https://doi.org/10.1080/14697688.2020.1786151
https://doi.org/10.1080/14697688.2020.1786151
Publikováno v:
Advances in Econometrics
Advances in Econometrics-The Econometrics of Networks
Advances in Econometrics-The Econometrics of Networks
A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is based on least absolute shrinkage and selection operator quantile regressi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8ad05b6b94eaab02dbf9912a7398fb4f
https://doi.org/10.1108/s0731-905320200000042016
https://doi.org/10.1108/s0731-905320200000042016
Autor:
Andrija Mihoci
Publikováno v:
Advances in Statistical Methodologies and Their Application to Real Problems
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::89b51b961f339db6c4b3fea2637a0ad4
http://www.intechopen.com/articles/show/title/modelling-limit-order-book-volume-covariance-structures
http://www.intechopen.com/articles/show/title/modelling-limit-order-book-volume-covariance-structures
Publikováno v:
Journal of Applied Econometrics. 30:529-550
Summary We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::712818d75b11e25f8a0f4a17a0ee13dd
https://doi.org/10.1002/jae.2376
https://doi.org/10.1002/jae.2376
Publikováno v:
Journal of Empirical Finance. 19:610-625
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7f25c799c9fbcd7dc509e45fffd4555
https://doi.org/10.1016/j.jempfin.2012.04.002
https://doi.org/10.1016/j.jempfin.2012.04.002
Publikováno v:
SSRN Electronic Journal.
Publications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and other dis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::43def3fae6f990f8fe85d222c1cbb686
https://doi.org/10.2139/ssrn.2800949
https://doi.org/10.2139/ssrn.2800949
A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::167623f32c82a57c3fa781d8ee339663
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-047.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-047.pdf
Publikováno v:
SSRN Electronic Journal.
We account for time-varying parameters in the conditional expectile based value at risk (EVaR) model. EVaR appears more sensitive to the magnitude of portfolio losses compared to the quantile-based Value at Risk (QVaR), nevertheless, by fitting the m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a5ba096a13e49090b7f9271a2cdf015
https://doi.org/10.2139/ssrn.3085849
https://doi.org/10.2139/ssrn.3085849