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What Determines the Sacrifice Ratio? A Bayesian Model Averaging Approach Early View

  • Journal: Oxford Bulletin of Economics and Statistics
  • Authors: Hajime Katayama, Natalia Ponomareva, Malvin Sharma
  • Published Date: Mar 22, 2019

Abstract Existing empirical studies on the sacrifice ratio (measuring the output cost of disinflation) consider a large number of potential explanatory variables including the length of disinflation,...

Online detection of financial time series peaks and troughs: A probability‐based approach Early View

  • Journal: Statistical Analysis and Data Mining: The ASA Data Science Journal
  • Authors: Riccardo Bramante, Silvia Facchinetti, Diego Zappa
  • Published Date: Mar 18, 2019

The problem related to the identification of a change in time series trajectories plays a crucial role in many contexts. In this paper, we propose a flexible and computationally efficient procedure...

Multiple curve Lévy forward price model allowing for negative interest rates Early View

  • Journal: Mathematical Finance
  • Authors: Ernst Eberlein, Christoph Gerhart, Zorana Grbac
  • Published Date: Mar 14, 2019

Abstract In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in...

Existence, uniqueness, and stability of optimal payoffs of eligible assets Early View

  • Journal: Mathematical Finance
  • Authors: Michel Baes, Pablo Koch‐Medina, Cosimo Munari
  • Published Date: Mar 14, 2019

Abstract In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of prespecified eligible...

Computational aspects of robust optimized certainty equivalents and option pricing Early View

  • Journal: Mathematical Finance
  • Authors: Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
  • Published Date: Mar 14, 2019

Abstract Accounting for model uncertainty in risk management and option pricing leads to infinite‐dimensional optimization problems that are both analytically and numerically intractable. In this...

Defective regression models for cure rate modeling with interval‐censored data Early View

  • Journal: Biometrical Journal
  • Authors: Vinicius F. Calsavara, Agatha S. Rodrigues, Ricardo Rocha, Vera Tomazella, Francisco Louzada
  • Published Date: Mar 14, 2019

Abstract Regression models in survival analysis are most commonly applied for right‐censored survival data. In some situations, the time to the event is not exactly observed, although it is known that...

Multiple imputation for discrete data: Evaluation of the joint latent normal model Early View

  • Journal: Biometrical Journal
  • Authors: Matteo Quartagno, James R. Carpenter
  • Published Date: Mar 14, 2019

Abstract Missing data are ubiquitous in clinical and social research, and multiple imputation (MI) is increasingly the methodology of choice for practitioners. Two principal strategies for imputation...

Predictive functional ANOVA models for longitudinal analysis of mandibular shape changes Early View

  • Journal: Biometrical Journal
  • Authors: Lara Fontanella, Luigi Ippoliti, Pasquale Valentini
  • Published Date: Mar 13, 2019

Abstract In this paper, we introduce a Bayesian statistical model for the analysis of functional data observed at several time points. Examples of such data include the Michigan growth study where we...

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