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The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19
A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …
Persistent link: https://www.econbiz.de/10011890808
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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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European exchange trading funds trading with locally weighted support vector regression
Sermpinis, Georgios; Stasinakis, Charalampos; Rosillo, … - In: European journal of operational research : EJOR 258 (2017) 1, pp. 372-384
Persistent link: https://www.econbiz.de/10011642226
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Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds
Sermpinis, Georgios; Stasinakis, Charalampos; … - In: European journal of operational research : EJOR 263 (2017) 2, pp. 540-558
Persistent link: https://www.econbiz.de/10011793981
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Financial time series forecasting using empirical mode decomposition and support vector regression
Nava, Noemi; Di Matteo, Tiziana; Aste, Tomaso - In: Risks : open access journal 6 (2018) 1, pp. 1-21
We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes...
Persistent link: https://www.econbiz.de/10011811500
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Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms : support vector regression forecast combinations
Sermpinis, Georgios; Stasinakis, Charalampos; … - In: European journal of operational research : EJOR 247 (2015) 3, pp. 831-846
Persistent link: https://www.econbiz.de/10011386316
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Robust regression under the general framework of bounded loss functions
Fu, Saiji; Tian, Yingjie; Tang, Long - In: European journal of operational research : EJOR 310 (2023) 3, pp. 1325-1339
Persistent link: https://www.econbiz.de/10014471175
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Convex support vector regression
Liao, Zhiqiang; Dai, Sheng; Kuosmanen, Timo - In: European journal of operational research : EJOR 313 (2024) 3, pp. 858-870
Persistent link: https://www.econbiz.de/10014456645
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Approximate dynamic programming for the military aeromedical evacuation dispatching, preemption-rerouting, and redeployment problem
Jenkins, Phillip R.; Robbins, Matthew J.; Lunday, Brian J. - In: European journal of operational research : EJOR 290 (2021) 1, pp. 132-143
Persistent link: https://www.econbiz.de/10012435804