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Harvey, A.; Luati, A. - Faculty of Economics, University of Cambridge - 2012

An unobserved components model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on a conditional Student t-distribution, that is tractable and retains...

Persistent link: https://www.econbiz.de/10010699830

Two EGARCH models and one fat tail

Caivano, M.; Harvey, A. - Faculty of Economics, University of Cambridge - 2013

We compare two EGARCH models which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a...

Persistent link: https://www.econbiz.de/10010700219

Time series models with an EGB2 conditional distribution

Caivano, M.; Harvey, A. - Faculty of Economics, University of Cambridge - 2013

A time series model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on an exponential generalized beta distribution of the second kind (EGB2), in which...

Persistent link: https://www.econbiz.de/10010700221

Modeling dynamic diurnal patterns in high frequency financial data

Ito, Ryoko - Faculty of Economics, University of Cambridge - 2013

A spline-DCS model is developed to forecast the conditional distribution of high-frequency financial data with periodic behavior. The dynamic cubic spline of Harvey and Koopman (1993) is applied to allow diurnal patterns to evolve stochastically over time. An empirical application illustrates...

Persistent link: https://www.econbiz.de/10010761905

Beta-t-(E)GARCH

Harvey, A.; Chakravarty, T. - Faculty of Economics, University of Cambridge - 2008

The GARCH-t model is widely used to predict volatilty. However, modeling the conditional variance as a linear combination of past squared observations may not be the best approach if the standardized observations are non-Gaussian. A simple modi.cation lets the conditional variance, or its...

Persistent link: https://www.econbiz.de/10005650533

Planning electricity transmission to accommodate renewables: Using two-stage programming to evaluate flexibility and the cost of disregarding uncertainty

van der Weijde, A.H.; Hobbs, B.F. - Faculty of Economics, University of Cambridge - 2011

planning under uncertainty and apply it to a stylised representation of the Great Britain (GB) network. In our model, a …, the costs of ignoring uncertainty, and the value of flexibility. Our results show that ignoring risk has quantifiable … economic consequences, and that considering uncertainty explicitly can yield decisions that have lower expected costs than …

Persistent link: https://www.econbiz.de/10009024895

Uncertainty and Economic Activity: A Global Perspective

Pesaran, Hashem; Cesa-Bianchi, Ambrogio; Rebucci, Alessandro - Faculty of Economics, University of Cambridge - 2014

quantifying the impact of uncertainty on further assume that these common factors affect volatility and economic activity with a …

Persistent link: https://www.econbiz.de/10010790552

Saving on a Rainy Day, Borrowing for a Rainy Day

Alan, S.; Crossley, T.; Low, H. - Faculty of Economics, University of Cambridge - 2012

times. We show that the rise in the aggregate savings ratio is driven by increases in uncertainty, rather than tightening of …

Persistent link: https://www.econbiz.de/10010699827

Economic Rationale for Safety Investment in Integrated Gasification Combined-Cycle Gas Turbine Membrane Reactor Modules

Koc, R.; Kazantzis, N.K.; Nuttall, W.J.; Ma, Y.H - Faculty of Economics, University of Cambridge - 2012

the membrane reactor module design conforms also to basic inherent safety principles. Sources of irreducible uncertainty … uncertainty drivers on the project’s/plant’s value is elucidated using a Monte-Carlo simulation technique that enables the …

Persistent link: https://www.econbiz.de/10010699835

Supplying Synthetic Crude Oil from Canadian Oil Sands: A Comparative Study of the Costs and CO2 Emissions of Mining and In-Situ Recovery

Méjean, A.; Hope, C. - Faculty of Economics, University of Cambridge - 2010

High crude oil prices and the eventual decline of conventional oil production raise the issue of alternative fuels such as non-conventional oil. The paper describes a simple probabilistic model of the costs of synthetic crude oil (SCO) produced from Canadian oil sands. Synthetic crude oil is...

Persistent link: https://www.econbiz.de/10008503184