Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Peter Ruckdeschel"'
Autor:
Peter Ruckdeschel, Matthias Kohl
Publikováno v:
Journal of Statistical Software, Vol 59, Iss 1, Pp 1-25 (2014)
Object orientation provides a flexible framework for the implementation of the convolution of arbitrary distributions of real-valued random variables. We discuss an algorithm which is based on the fast Fourier transform. It directly applies to lattic
Externí odkaz:
https://doaj.org/article/5c5d228e0a6a46fa9fbf106f92b73f32
Autor:
Matthias Kohl, Peter Ruckdeschel
Publikováno v:
Journal of Statistical Software, Vol 35, Iss 10 (2010)
Package distrMod provides an object oriented (more specifically S4-style) implementation of probability models. Moreover, it contains functions and methods to compute minimum criterion estimators - in particular, maximum likelihood and minimum distan
Externí odkaz:
https://doaj.org/article/81d8f1983b3e473fa508391dfaec932a
Publikováno v:
Applied Stochastic Models in Business and Industry. 36:307-334
We consider portfolio optimization in a regime‐switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::add4749d5d1fcad45a0a518b3b67b8fc
https://doi.org/10.1002/asmb.2491
https://doi.org/10.1002/asmb.2491
Publikováno v:
Quantitative Finance. 18:1327-1343
Motivated by the modelling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f00ff59ba1074950297f995c90d4547b
https://doi.org/10.1080/14697688.2017.1410214
https://doi.org/10.1080/14697688.2017.1410214
We consider balanced one-, two- and three-way ANOVA models to test the hypothesis that the fixed factor A has no effect. The other factors are fixed or random. We determine the noncentrality parameter for the exact F-test, describe its minimal value
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aadf5cac8af6a2ed7149b1b922f2f16c
Publikováno v:
Statistics & Probability Letters. 97:155-164
We derive conditions for L 2 differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions induce smoothness
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c068b723b4b3d6c7b2d5d8634821d3a7
https://doi.org/10.1016/j.spl.2014.11.020
https://doi.org/10.1016/j.spl.2014.11.020
Publikováno v:
SSRN Electronic Journal.
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MA
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73c3266a90417f4a1bac9cc0662701bb
https://doi.org/10.2139/ssrn.2922085
https://doi.org/10.2139/ssrn.2922085
Autor:
Peter Ruckdeschel, Nataliya Horbenko
Publikováno v:
Statistics. 47:762-791
In this paper, we study the robustness properties of several procedures for the joint estimation of shape and scale in a generalized Pareto model. The estimators that we primarily focus upon, most bias robust estimator (MBRE) and optimal MSE-robust e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::174f26dc0c8dd99f55786180c86a3f7d
https://doi.org/10.1080/02331888.2011.628022
https://doi.org/10.1080/02331888.2011.628022
Publikováno v:
The Journal of Derivatives. 20:9-29
The Binomial model and similar lattice methods are workhorses of practical derivatives valuation. But returns processes more realistic than lognormal diffusions with constant parameters easily create difficulties for them. One of the most important e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6292423ea336969ee649ac3c02743f1a
https://doi.org/10.3905/jod.2013.20.3.009
https://doi.org/10.3905/jod.2013.20.3.009
Publikováno v:
SSRN Electronic Journal.
We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility are allowed to switch between different states. We consider diff
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::18d040c8bc1f4cede91bcec3ce30ca84
https://doi.org/10.2139/ssrn.2876807
https://doi.org/10.2139/ssrn.2876807