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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10011377261
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …
Persistent link: https://www.econbiz.de/10011431503
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
out-of sample forecasting assessment up to seven days ahead. The one-day ahead forecasts from fourty-eight bivariate …
Persistent link: https://www.econbiz.de/10011373810
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A weak bifurcation theory for discrete time stochastic dynamical systems
Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006
This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...
Persistent link: https://www.econbiz.de/10011349208
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25 years of IIF time series forecasting : a selective review
Gooijer, Jan G. de; Hyndman, Rob J. - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers_new published in these...
Persistent link: https://www.econbiz.de/10011346491
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912
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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
by bank risk managers to provide for forecasts of daily capital charges. That is to say, while ES is known to be a …
Persistent link: https://www.econbiz.de/10011431395
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
distributions, on the one hand, 97.5%-ES would imply higher risk forecasts, while on the other, it provides a smaller down-side risk …
Persistent link: https://www.econbiz.de/10010532611