output
20092026
most citedCorrelation of financial markets in times of crisis

290 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing stat.MEShow all

2 papers · 1 filter

stat.ME2023

Conformal prediction for frequency-severity modeling

Helton Graziadei, Paulo C. Marques F., Eduardo F. L. de Melo +1

We present a model-agnostic framework for the construction of prediction intervals of insurance claims, with finite sample statistical guarantees, extending the technique of split…

stat.ME2023★ 13 cited

When it counts -- Econometric identification of the basic factor model based on GLT structures

Sylvia Frühwirth-Schnatter, Darjus Hosszejni, Hedibert Freitas Lopes

Despite the popularity of factor models with sparse loading matrices, little attention has been given to formally address identifiability of these models beyond standard rotation-b…