Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

We present a non-parametric method for calibrating jump–diffusion and, more generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the ...

Let τ be a prior distribution over the parameter space Θ for a given parametric model P θ, θ ∈ Θ. For the sample space X (over which P θ 's are probability measures) belonging to a general class of ...

This paper is concerned with developing a non-parametric time-varying coefficient model with fixed effects to characterize non-stationarity and trending phenomenon in a non-linear panel data model. We ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation The purpose of this paper is to compare in-sample and out-of-sample performances of three parametric and non-parametric ...

2021 MAR 11 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- New research on Accident Research is the subject of a report. According to news reporting originating from ...