Forma i typ
E-booki
(2)
IBUK Libra
(2)
Autor
zbiorowa Praca
(2)
Rok wydania
2020 - 2024
(1)
2010 - 2019
(1)
Kraj wydania
Polska
(2)
Język
angielski
(2)
2 wyniki Filtruj
E-book
W koszyku
Temat: Estimator ; Risk
Semivariance is an intuitive risk measure because it concentrates on the shortfall below a target and not on total variation. To successfully use semivariance in practice, however, a statistical estimator of semivariance is needed; Josephy and Aczel provide such an estimator. Unfortunately, they have not correctly proven asymptotic unbiasedness and mean squared error consistency of their estimator since their proof contains a mistake. This paper corrects the computational mistake in Josephy-Aczel’s original proof and, that way, allows researchers and practitioners in the field of downside portfolio selection, hedging, downside asset pricing, risk measurement in a regulatory context, and performance measurement to work with a meaningfully specified downside measure.
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E-book
W koszyku
We present the latest issue of the journal Econometrics Ekonometria. Advances in Applied Data Analysis. This issue contains three articles. Aleksandar Vasiliev discusses a business-cycle model with cash and credit goods and a modified cash-in-advance feature. The author proposed to use their solutions for the Bulgarian economy based on data from 1999-2020. The main objective of the research by Barbara Dańska-Borysiak was to estimate the level of GDP and total factor productivity (TFP) in the poviats of the Łódzkie voivodship in the period 2002-2019. In the research a spatial panel data model estimated by the maximum likelihood method was applied. Mohamed Mehdi Hamri, Nadia Kadiri, Sanaà Dounya Mekki, and Abbes Rabhi discuss single functional index quantile regression for independent functional data under right-censoring. They present a non-parametrical estimation procedure of the quantiles of a conditional distribution based on the single-index model in the censorship model when the sample is considered as independent and identically distributed (i.i.d.) random variables.
Dostęp do treści elektronicznej wymaga posiadania kodu PIN. Po odbiór kodu PIN zapraszamy do biblioteki.
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