2 citations · 5 across the 14 of their papers we have counts for
6 papers · 1 filter
Gordon Growth Model with Vector Autoregressive Process
Battulga Gankhuu
In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growt…
Derivative Preserving Conditions in Conditional Expectation Operator
Battulga Gankhuu
In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduce…
The Merton's Default Risk Model for Public Company
Battulga Gankhuu
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's appr…
EM Estimation of Conditional Matrix Variate Distributions
Battulga Gankhuu
Conditional matrix variate student distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student distri…
Bayesian Markov-Switching Vector Autoregressive Process
Battulga Gankhuu
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we pro…
Derivatives of Risk Measures
Battulga Gankhuu
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we…