Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Armin Pourkhanali"'
Publikováno v:
Empirical Economics. 63:345-389
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key European bank
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::36de188e5fd245599aa76fbd79c184c7
https://doi.org/10.1007/s00181-021-02135-y
https://doi.org/10.1007/s00181-021-02135-y
Publikováno v:
Energy Economics. 114:106249
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4550936f57b1befbc7ca469c7c313898
https://doi.org/10.1016/j.eneco.2022.106249
https://doi.org/10.1016/j.eneco.2022.106249
Publikováno v:
Energy Economics. 78:143-164
We consider the problem of modelling and forecasting the distribution of a vector of prices from interconnected electricity markets using a flexible class of drawable vine copula models, where we allow the dependence parameters of the constituting bi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff3b5e90bc13b61c96e5e471fb13e05f
https://doi.org/10.1016/j.eneco.2018.10.034
https://doi.org/10.1016/j.eneco.2018.10.034
Publikováno v:
SSRN Electronic Journal.
Wholesale electricity prices can rapidly change in real-time, yet households usually face fixed-price electricity tariffs. Therefore, households that predominantly use energy when wholesale prices are low implicitly cross-subsidize households whose e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::52dd64bbac5da3a547a59b54c671969f
https://doi.org/10.2139/ssrn.3774556
https://doi.org/10.2139/ssrn.3774556
Publikováno v:
Algorithmic Finance. 7:15-30
We provide a non-parametric method for stochastic volatility modelling. Our method allows the implied volatility to be governed by a general Levy-driven Ornstein–Uhlenbeck process, the density function of which is hidden to market participants. Usi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f70bc418927b471f8935f75b2d3ee10
https://doi.org/10.3233/af-180200
https://doi.org/10.3233/af-180200
Publikováno v:
Communications in Statistics - Theory and Methods. 47:4006-4020
A new class of lifetime distributions, which can exhibit with upside-down bathtub-shaped, bathtub-shaped, decreasing, and increasing failure rates, is introduced. The new distribution is constructed by compounding generalized Weibull and logarithmic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b90fe1a4357d45eac4dc7c25df491027
https://doi.org/10.1080/03610926.2017.1367811
https://doi.org/10.1080/03610926.2017.1367811
Publikováno v:
Economic Modelling. 53:63-74
We present an intuitive model of systemic risk to analyse the complex interdependencies between different borrowers. We characterise systemic risk by the way that financial institutions are interconnected. Using their probability of default, we class
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c18d19e815a3aaf32afa9ce40ca00c82
https://doi.org/10.1016/j.econmod.2015.11.010
https://doi.org/10.1016/j.econmod.2015.11.010
Autor:
Armin Pourkhanali, F Alavi Fard
Publikováno v:
Corporate Ownership and Control. 12:250-260
We propose a model for valuing equity linked annuity (ELA) products under a generalized gamma model with a Markov-switching compensator. We suppose that the market interest rate and all the parameters of the underlying reference portfolio switch over
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0226810b3702fd311130c0b998e80a21
https://doi.org/10.22495/cocv12i3c2p5
https://doi.org/10.22495/cocv12i3c2p5