Results 121 to 130 of about 98,530 (284)

T‐calibration in semi‐parametric models

Canadian Journal of Statistics, EarlyView.
Abstract This article relates the calibration of models to the consistent loss functions for the target functional of the model. Correctly specified models are calibrated. Conversely, we demonstrate that if there is a parameter value that is optimal under all consistent loss functions, then a model is calibrated.
Anja Mühlemann, Johanna Ziegel
wiley   +1 more source

Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter? [PDF]

The U.S. labor market has been experiencing unprecedented high average unemployment duration. The shift in the unemployment duration distribution can be traced back to the early nineties.
José Ferreira Machado, Juliana Guimarães, Pedro Portugal   +2 more
core  

Playing with fire? A mean‐field game analysis of fire sales and systemic risk under regulatory capital constraints

Canadian Journal of Statistics, EarlyView.
Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley   +1 more source

Bayesian clustering of multivariate extremes

Canadian Journal of Statistics, EarlyView.
Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley   +1 more source

Board Composition, Sustainability Reporting, and the Moderating Role of a Contextual Issue: Evidence From an Emerging Country

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT This study examines the impact of board composition (BC) on sustainability reporting (SR) in financial firms listed on the Dhaka Stock Exchange (DSE), with a focus on the moderating role of non‐performing loans (NPLs). Using 421 firm‐year observations from 49 firms (2016–2024) and an ordinary least squares (OLS) regression model, the results ...
Sumon Kumar Das, Prome Akter
wiley   +1 more source

Alpha Power Transformed Generalized Weibull Distribution With Its Detailed Properties and Applications

Journal of Probability and Statistics
This study introduces the alpha power transformed generalized Weibull distribution (APTGWD), a novel probability model derived by transforming the generalization of Weibull distribution (GWD) using an alpha power technique.
Merga Abdissa Aga, Ayele Taye Goshu
doaj   +1 more source

Simple nonparametric estimators for unemployment duration analysis [PDF]

"We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor.
Wichert, Laura, Wilke, Ralf A.
core  

ESG Rating Disagreement and the Size of the Investable Universe Under ESG Consensus Rules

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Using ESG scores of listed US companies from Refinitiv, ESG Book, MSCI, Moody's ESG, Bloomberg, and Sustainalytics for the period 2003–2022, we examine the extent of ESG rating disagreement and how it shapes the investable universe under ESG consensus rules.
Christian Lohmann, Steffen Möllenhoff, Sebastian Lehner   +2 more
wiley   +1 more source

Identification with excess heterogeneity [PDF]

An outcome is determined by a structural function in which the effect of variables of interest is transmitted through a scalar function of those variables - an index.
Andrew Chesher
core