A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models-Reference-Cited by-同舟云学术

A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models

Published:2018-03-12 Issue:10 Volume:18 Page:1679-1698
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Hambuckers J.¹,Kneib T.¹,Langrock R.²,Silbersdorff A.¹

Affiliation:

1. Faculty of Economic Sciences, Chair of Statistics, Georg-August-Universität Göttingen , Humboldtallee 3, 37073 Göttingen, Germany.

2. Department of Business Administration and Economics, Statistics and Data Analysis Group, Bielefeld University , Universitätsstrasse 25, 33615 Bielefeld, Germany.

Funder

DFG

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1417625

Reference45 articles.

1. Regime Changes and Financial Markets

2. The VIX, the variance premium and stock market volatility

3. Practical methods for measuring and managing operational risk in the financial sector: A clinical study

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Using the softplus function to construct alternative link functions in generalized linear models and beyond;Statistical Papers;2023-12-15

2. Bettors’ reaction to match dynamics: Evidence from in-game betting;European Journal of Operational Research;2023-11

3. How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity;Journal of Operational Risk;2023

4. Modeling maxima with a regime-switching Fréchet model;Journal of Risk;2022

5. Smooth-Transition Regression Models for Non-Stationary Extremes;Journal of Financial Econometrics;2021-08-30