Zobrazeno 1 - 10
of 256
pro vyhledávání: '"jel:G19"'
Publikováno v:
Journal of Computational and Applied Mathematics. 311:272-292
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::18ed1643161260f0ebf87a498b8a4310
https://doi.org/10.1016/j.cam.2016.07.015
https://doi.org/10.1016/j.cam.2016.07.015
Autor:
Brenda López Cabrera, Franziska Schulz
Publikováno v:
Journal of the American Statistical Association. 112:127-136
Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant informati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34924ed1ff3c277edd981b4e38e95774
https://doi.org/10.1080/01621459.2016.1219259
https://doi.org/10.1080/01621459.2016.1219259
We show that "quasi-dark" trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. Using the European MiFID II regulation as a quasi-na
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::755b32ea3ad595016576b601df07a118
https://hdl.handle.net/10419/200114
https://hdl.handle.net/10419/200114
Publikováno v:
Energy Economics. 55:112-126
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-facto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ad2a9bea582721a0ea71813f6706600
https://doi.org/10.1016/j.eneco.2015.12.020
https://doi.org/10.1016/j.eneco.2015.12.020
Publikováno v:
Ekonomìčnij Vìsnik Nacìonalʹnogo Tehnìčnogo Unìversitetu Ukraïni "Kiïvsʹkij Polìtehnìčnij Institut", Vol 0, Iss 15 (2018)
Економічний вісник НТУУ «КПІ» : збірник наукових праць, 2018, № 15
Економічний вісник НТУУ «КПІ» : збірник наукових праць, 2018, № 15
У процесі дослідження можливості застосування правил нечіткої логіки та нечітких множин при виборі підприємством платіжних систем бул
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2584ccf83889c0d42afb369dfff7999
https://doi.org/10.20535/2307-5651.15.2018.136363
https://doi.org/10.20535/2307-5651.15.2018.136363
Publikováno v:
Scandinavian Actuarial Journal. 2017:88-104
In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32813ba360133d4e39378ad26daea29b
https://doi.org/10.1080/03461238.2015.1084945
https://doi.org/10.1080/03461238.2015.1084945
Publikováno v:
Journal of Property Research. 32:217-239
We propose a new method to estimate quality adjusted commercial property price indexes using real estate investment trust (REIT) data. Our method is based on the present value approach, but the way the denominator (i.e., the discount rate) and the nu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3fdd712666ec760b870dc089e04352dd
https://doi.org/10.1080/09599916.2015.1059875
https://doi.org/10.1080/09599916.2015.1059875
Autor:
Mladen Latković, enata Kovačević
Publikováno v:
Financial Theory and Practice, Vol 39, Iss 1, Pp 31-55 (2015)
Financial theory and practice
Volume 39
Issue 1
Financial theory and practice
Volume 39
Issue 1
In this article we analyze the expected risk of pension funds with different risk profiles in the proxy life-cycle model of investments for the 2nd pillar pension scheme in Croatia. The benefits of implementing proxy life-cycle investments, compared
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6757420ac72192abd72bc47cb0042d50
https://doi.org/10.3326/fintp.39.1.2
https://doi.org/10.3326/fintp.39.1.2
Autor:
Rahul Ravi
Publikováno v:
The International Journal of Business and Finance Research. 9(2):93-104
This paper provides an empirical investigation of the hypothesis that there exists information asymmetry about systematic factors. Using a sample of 112 exchange traded funds (ETF) we provide evidence in support of this hypothesis. Furthermore, throu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::595eeea985707e9109c3cf2081ab7660
http://www.theibfr2.com/public_ftp/RePEc/IBF/ijbfre/ijbfr-v9n2-2015/ijbfr-v9n2-2015-7.pdf
http://www.theibfr2.com/public_ftp/RePEc/IBF/ijbfre/ijbfr-v9n2-2015/ijbfr-v9n2-2015-7.pdf
Publikováno v:
Revista Economica. 67(Supplement):111-120
The relationship between different rates of liquidity and profitability, is one of the most popular topics of research in the financial management field. In order to demonstrate the correlation between these variables, we used the statistical program
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::5c1f75399c9c90344c4d77572f24cb9e
http://economice.ulbsibiu.ro/revista.economica/archive/suplimente/67S11minculete&baltes&dragoe.pdf
http://economice.ulbsibiu.ro/revista.economica/archive/suplimente/67S11minculete&baltes&dragoe.pdf