Is more data always better? Optimal data usage in non-stationary systems


Starting from the premise that risk is a notion that changes over time this paper introduces a statistical methodology that is able to identify the amount of data yielding minimal bias estimators. I formalise the issue of... [ view full abstract ]


  1. Jakob Krause (Martin-Luther University Halle-Wittenberg)

Topic Areas

Capital Requirements , Risk Measures , Systemic Risk


WE-P-DA » Systemic Risk (14:30 - Wednesday, 18th July, Davis)

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