Financial and risk modelling with semicontinuous covariances

Stehlk, M.; Helperstorfer, Ch.; Hermann, Philipp; upina, J.; Grilo, Luís M.; Maidana, Jean Paul; Fuders, Félix; Stehlkov, S.

doi:10.1016/j.ins.2017.02.002

Cited by 23 publications

(10 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Based on this strategy, the income levels should be increased and cost level should be decreased. In a very low interest environment (with the zero lower bound having been hit in international monetary markets) and an ever-increasing money supply in almost all economies in the world, it is difficult for banks to gain from interest margins [34][35][36]. Efficiency should not only be measured taking into account profitability but the tasks of banks should be considered.…”

Section: Results and Analysismentioning

confidence: 99%

A bargaining game model for performance assessment in network DEA considering sub-networks: a real case study in banking

Mahmoudi

Emrouznejad

Rasti−Barzoki

2018

Neural Comput & Applic

View full text Add to dashboard Cite

Several network-data envelopment analysis (DEA) performance assessment models have been proposed in the literature; however, the conflicts between stages and insufficient number of decision-making units (DMUs) challenge the researchers. In this paper, a novel game-DEA model is proposed for efficiency assessment of network structure DMUs. We propose a two-stage modeling, where in the first stage network is divided into several sub-networks; we at the same time categorize input variables to measure efficiency of sub-networks within each input category. In the second stage, we calculate efficiency of the network by aggregating efficiency scores of sub-networks within each category. In this way, the issue of insufficient number of DMUs when there are many input/output variables can be handled as well. One of the main contributions of this paper is assuming each category and stage as a player in Nash bargaining game. Using the concept borrowed from Nash bargaining game model, the proposed game-DEA model tries to maximize distances of efficiency scores of each player form their corresponding breakdown points. The usefulness of the model is presented using a real case study to measure the efficiency of bank branches.

show abstract

Section: Results and Analysismentioning

confidence: 99%

A bargaining game model for performance assessment in network DEA considering sub-networks: a real case study in banking

Mahmoudi

Emrouznejad

Rasti−Barzoki

2018

Neural Comput & Applic

View full text Add to dashboard Cite

show abstract

“…Namely, regular surfaces and their corresponding covariance structures should be compared with semicontinuous covariances, introduced in Stehlík et al . (), which are more realistic.…”

Section: Discussion On the Paper By Pigoli Hadjipantelis Coleman Anmentioning

confidence: 99%

“…Two important issues which we would like to point out are the oversmoothing and oversymmetrization of the data. Namely, regular surfaces and their corresponding covariance structures should be compared with semicontinuous covariances, introduced in Stehlík et al (2017), which are more realistic.…”

Section: Milan Stehlík (Johannes Kepler University In Linz and Univermentioning

confidence: 99%

The Statistical Analysis of Acoustic Phonetic Data: Exploring Differences Between Spoken Romance Languages

Pigoli

Hadjipantelis

Coleman

et al. 2018

Journal of the Royal Statistical Society Series C: Applied Statistics

View full text Add to dashboard Cite

Summary The historical and geographical spread from older to more modern languages has long been studied by examining textual changes and in terms of changes in phonetic transcriptions. However, it is more difficult to analyse language change from an acoustic point of view, although this is usually the dominant mode of transmission. We propose a novel analysis approach for acoustic phonetic data, where the aim will be to model the acoustic properties of spoken words statistically. We explore phonetic variation and change by using a time–frequency representation, namely the log‐spectrograms of speech recordings. We identify time and frequency covariance functions as a feature of the language; in contrast, mean spectrograms depend mostly on the particular word that has been uttered. We build models for the mean and covariances (taking into account the restrictions placed on the statistical analysis of such objects) and use these to define a phonetic transformation that models how an individual speaker would sound in a different language, allowing the exploration of phonetic differences between languages. Finally, we map back these transformations to the domain of sound recordings, enabling us to listen to the output of the statistical analysis. The approach proposed is demonstrated by using recordings of the words corresponding to the numbers from 1 to 10 as pronounced by speakers from five different Romance languages.

show abstract

“…Ref. [15] provides explanation of macroeconomic effects of negative interest rates, e.g., clarifying several contradictions on IS/ML model in the economic literature.…”

Section: Introductionmentioning

confidence: 93%