Mostrando recursos 1 - 1 de 1

  1. Advanced Regression Methods in Finance and Economics: Three Essays

    Hofmarcher, Paul
    In this thesis advanced regression methods are applied to discuss and investigate highly relevant research questions in the areas of finance and economics. In the field of credit risk the thesis investigates a hierarchical model which allows to obtain a consensus score, if several ratings are available for each firm. Autoregressive processes and random effects are used to model both a correlation structure between and within the obligors in the sample. The model also allows to validate the raters themselves. The problem of model uncertainty and multicollinearity between the explanatory variables is addressed in the other two applications. Penalized regressions, like bridge regressions, are...
    (application/pdf) - 18-oct-2016

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.