The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

See the publication in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 94(C), pages 223-237.<P> In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme...</p></i>

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

See the publication in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 250-265.<P> The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the...</p></i>

This discussion paper resulted in an article in <I>Economics Letters</I> (2012). Vol. 116(3), 322-325.<p> Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is...</p></i>

Accepted for an article forthcoming in the <I>Review of Economics and Statics</I>. Volume 97, 2015.<P> We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation-driven models. We consider dynamic count, intensity, duration, volatility and copula...</p></i>

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...