Projects per year
Abstract
Motivated by the applications of the concept of expectation dependence in economics and finance, we propose a method to construct uniform confidence band for expectation dependence. It is derived based on Hoeffding’s inequality. Our proposed confidence band can be explicitly expressed and thus it is very easy to implement. Our method has applications to demand for a risky asset and first-order risk aversion problems. Simulations suggest our proposed confidence interval can control the coverage probabilities very well, and the average lengths are very short. Two empirical applications are presented to illustrate the usefulness of the constructed confidence band of expectation dependence.
Original language | English |
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Pages (from-to) | 141-149 |
Number of pages | 9 |
Journal | Insurance : Mathematics and Economics |
Volume | 68 |
Early online date | 3 Nov 2015 |
DOIs | |
Publication status | Published - May 2016 |
Bibliographical note
The research described here was supported by the Fundamental Research Funds for the Central Universities (NR2015001); the Natural Science Foundation of Jiangsu Province, China, grant No. BK20150732; General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500814; the Faculty Research Grant of Lingnan University under Research Project No. DR12A9; Direct Grant for Research of Lingnan University under Research Project No. DR13C8.Keywords
- Confidence band estimation
- Demand for a risky asset
- Expectation dependence
- First-order risk aversion
- Hoeffding’s inequality
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Dive into the research topics of 'Confidence band for expectation dependence with applications'. Together they form a unique fingerprint.Projects
- 3 Finished
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Explain Two Puzzles in Macro-Finance by Higher-Order Risk Attitudes and Background Risks (運用高階風險規避和背景風險的方法研究兩個宏觀金融之謎)
LI, J., DIONNE, G. & OKOU, C.
Research Grants Council (HKSAR)
1/01/15 → 31/12/16
Project: Grant Research
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Comparative Risk Aversion with Multiple Dependent Background Risks
1/06/13 → 31/05/15
Project: Grant Research
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Decreasing Ross Risk Aversion: Higher-order Generalizations and Implications
1/02/12 → 30/04/14
Project: Grant Research