Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Gankhuu Battulga"'
Autor:
Gankhuu, Battulga
In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growth model and Gordon growth model, which is based on the VAR process.
Externí odkaz:
http://arxiv.org/abs/2406.19424
Autor:
Gankhuu, Battulga
In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduces higher order derivatives of the Expected Shortfall for a generic non
Externí odkaz:
http://arxiv.org/abs/2406.18180
Autor:
Gankhuu, Battulga
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's approximation method, we obtain formulas of risk-neutral equity and liabil
Externí odkaz:
http://arxiv.org/abs/2406.18121
Autor:
Gankhuu, Battulga
Conditional matrix variate student $t$ distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student $t$ distribution. The paper provides EM algorithms, which estimate parameters of
Externí odkaz:
http://arxiv.org/abs/2406.10837
Autor:
Gankhuu, Battulga
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorith
Externí odkaz:
http://arxiv.org/abs/2404.11235
Autor:
Gankhuu, Battulga
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order conditional mom
Externí odkaz:
http://arxiv.org/abs/2404.09646
Autor:
Gankhuu, Battulga
In this study, we introduce new estimation methods for the required rate of returns on equity and liabilities of private and public companies using the stochastic dividend discount model (DDM). To estimate the required rate of return on equity, we us
Externí odkaz:
http://arxiv.org/abs/2305.19708
Autor:
Gankhuu, Battulga
Because the asset value of a private company does not observable except in quarterly reports, the structural model has not been developed for a private company. For this reason, this paper attempt to develop the Merton's structural model for the priv
Externí odkaz:
http://arxiv.org/abs/2208.01974
Autor:
Gankhuu, Battulga
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of unobserved prices, pricing and hedging models of the European options
Externí odkaz:
http://arxiv.org/abs/2206.09666
Autor:
Gankhuu, Battulga
In this study, we introduce new estimation methods for the required rate of return of the stochastic dividend discount model (DDM) and the private company valuation model, which will appear below. To estimate the required rate of return, we use the m
Externí odkaz:
http://arxiv.org/abs/2206.09657