Stolbov M., Shchepeleva M., International Journal of Finance and Economics 2021 Vol. 26 No. 4 P. 5557–5569
The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture ...
Added: August 22, 2020
Ulyanov V. V., Fujikoshi Y., Springer Singapore, 2020.
This book presents recent non-asymptotic results for approximations in multivariate statistical analysis. The book is unique in its focus on results with the correct error structure for all the parameters involved. Firstly, it discusses the computable error bounds on correlation coefficients, MANOVA tests and discriminant functions studied in recent papers. It then introduces new areas ...
Added: July 15, 2020
Koldanov P., Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 129–137
It is proved that sign network with elliptical distribution with known shift parameter is equivalent
to sign network with elliptical distribution with unknown shift parameter estimated as sample mean.
This result is proved for the case of independent identically distributed observation and for the case
of sample from matrix elliptically contoured distribution with any dependence between observations. ...
Added: May 31, 2020
Ульянов В.В., Марков А. С., Монахов М. М., Информатика и ее применения 2016 Т. 10 № 2 С. 95–101
Для квантилей выборочного среднего по выборке случайного объема построены обобщенные разложения Корниша–Фишера на базе квантилей распределений Лапласа и Стьюдента. В последние годы интерес к разложениям Корниша–Фишера значительно вырос в связи с исследованиями по управлению рисками. Широко распространенная мера риска Value at Risk (VaR) является квантилью функции потерь. В работе используется общая теорема переноса, позволяющая получать ...
Added: March 10, 2017
Ulyanov V. V., Aoshima M., Fujikoshi Y., Journal of Mathematical Sciences 2016 Vol. 218 No. 3 P. 363–368
We get the computable error bounds for generalized Cornish–Fisher expansions for quantiles of statistics provided that the computable error bounds for Edgeworth–Chebyshev type expansions for distributions of these statistics are known. The results are illustrated by examples. ...
Added: November 22, 2016
Konyukhovskiy P., Nastych Maria A., International Journal of Economic Behavior and Organization 2013 Vol. 1 No. 2 P. 20–26
Cooperative behavior of economic agents is becoming particularly relevant in the context of globalization and information exchange streamlining. Amalgamate entities pursue the goals of strengthening their market position and influence whether it’s a mutual cooperation or hostile takeover. Coalitions formation between the firms can lead both to the establishment of monopoly power through consolidation, and ...
Added: August 11, 2013