Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Gabriel Frahm"'
Autor:
Gabriel Frahm
Publikováno v:
Quantitative Finance and Economics, Vol 2, Iss 3, Pp 590-614 (2018)
Copula theory is used to investigate the phenomenon of extremal dependence. An analyticalexpression for the extremal-dependence coe cient (EDC) of regularly varying elliptically distributedrandom vectors is derived. The EDC represents a natural measu
Externí odkaz:
https://doaj.org/article/2818a20cce754476bedeb53b9e31e846
Publikováno v:
Econometrics, Vol 7, Iss 3, p 30 (2019)
In forecasting count processes, practitioners often ignore the discreteness of counts and compute forecasts based on Gaussian approximations instead. For both central and non-central point forecasts, and for various types of count processes, the perf
Externí odkaz:
https://doaj.org/article/20fe36b675ad4c4cb5c7dda9961d4c9c
Autor:
Gabriel Frahm
Publikováno v:
Risks, Vol 6, Iss 2, p 40 (2018)
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union
Externí odkaz:
https://doaj.org/article/000235ee95e64911b7220cdfaf223475
Autor:
Gabriel Frahm
'This book is refreshing, innovative and important for several reasons. Perhaps most importantly, it attempts to reconcile game theory with one-person decision theory by viewing a game as a collection of one-person decision problems. As natural as th
Publikováno v:
Contributions to Statistics ISBN: 9783031141966
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b890e9cce54b7de0da4df2563d625a7
https://doi.org/10.1007/978-3-031-14197-3_6
https://doi.org/10.1007/978-3-031-14197-3_6
Publikováno v:
Robust and Multivariate Statistical Methods ISBN: 9783031226861
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::698a2d83436492177dde4eb3780a0099
https://doi.org/10.1007/978-3-031-22687-8_2
https://doi.org/10.1007/978-3-031-22687-8_2
Autor:
Gabriel Frahm
Publikováno v:
Robust and Multivariate Statistical Methods ISBN: 9783031226861
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34821d4642ca8658ed7dae034e1fcc00
https://doi.org/10.1007/978-3-031-22687-8_8
https://doi.org/10.1007/978-3-031-22687-8_8
Publikováno v:
Journal of Applied Statistics. 49:1957-1978
Coherent forecasting techniques for count processes generate forecasts that consist of count values themselves. In practice, forecasting always relies on a fitted model and so the obtained forecast values are affected by estimation uncertainty. Thus,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d1fcaf4c7924bef3284eb4108cc7f8fb
https://doi.org/10.1080/02664763.2021.1887104
https://doi.org/10.1080/02664763.2021.1887104
Autor:
Gabriel Frahm
Publikováno v:
Mathematical Methods of Operations Research. 92:1-32
The best constant re-balanced portfolio represents the standard estimator for the log-optimal portfolio. It is shown that a quadratic approximation of log-returns works very well on a daily basis and a mean-variance estimator is proposed as an altern
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d983c660f89ab63b738d7f663ac734a
https://doi.org/10.1007/s00186-020-00701-1
https://doi.org/10.1007/s00186-020-00701-1
Autor:
Gabriel Frahm, Lorenz Hartmann
Publikováno v:
Econometrica. 91:33-33
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e2778eabb0f562f64185b05750f88e9
https://doi.org/10.3982/ecta21641
https://doi.org/10.3982/ecta21641