Analysis of risk bounds in partially specified additive factor models
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.02.007
Abstract: Abstract The study of worst case scenarios for risk measures (e.g. the Value at Risk) when the underlying risk vector (or portfolio of risks) is not completely specified is a central topic in the literature… read more here.
Keywords: factor models; partially specified; risk; factor ... See more keywords
Iteration of Partially Specified Target Matrices: Application to the Bi-Factor Case
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DOI: 10.1080/00273171.2017.1301244
Abstract: ABSTRACT The current study proposes a new bi-factor rotation method, Schmid-Leiman with iterative target rotation (SLi), based on the iteration of partially specified target matrices and an initial target constructed from a Schmid-Leiman (SL) orthogonalization.… read more here.
Keywords: partially specified; target; iteration partially; target matrices ... See more keywords
Estimation of partially specified spatial panel data models with fixed-effects
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DOI: 10.1080/07474938.2015.1113641
Abstract: ABSTRACT This article extends the spatial panel data regression with fixed-effects to the case where the regression function is partially linear and some regressors may be endogenous or predetermined. Under the assumption that the spatial… read more here.
Keywords: panel data; partially specified; estimation partially; fixed effects ... See more keywords