A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives and guarantees ...

This course is compulsory on the MRes in Finance. This course is available on the MRes in Economics, MRes in Economics and Management and MRes in Management (Marketing). This course is not available ...

Value at risk models are concerned with the estimation of conditional quantiles of a time series. Formally, these quantities are a function of conditional volatility and the respective quantile of the ...

One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of neural network quantile regression. The goal of a quantile regression problem is to predict a single numeric ...

Measurement error arises when the observed data deviate from true values due to inaccuracies in measurement processes, potentially leading to biased estimates and ...