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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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Continuous Beliefs Dynamics
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...
Persistent link: https://www.econbiz.de/10011249542
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Heterogeneity as a Natural Source of Randomness
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...
Persistent link: https://www.econbiz.de/10011255553
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Rising Inequalities in Income and Health in China: Who is left behind?
Baeten, Steef; Ourti, Tom Van; Doorslaer, Eddy Van - Tinbergen Instituut - 2012
This discussion led to a publication in the 'Journal of Health Economics', 2013, 32, 6, 1214–1229.<P> During the last decades, China has experienced double-digit economic growth rates and rising inequality. This paper implements a new decomposition on the China Health and Nutrition panel Survey...</p>
Persistent link: https://www.econbiz.de/10011255894
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Heterogeneity as a Natural Source of Randomness
Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003
We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...
Persistent link: https://www.econbiz.de/10005136904
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Continuous Beliefs Dynamics
Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003
We propose a general framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a continuous space representing the possible strategies agents can choose from. Agents base their choices on past performances. As new...
Persistent link: https://www.econbiz.de/10005137369
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Preference Elicitation in Generalized Data Envelopment Analysis - In Search of a New Energy Balance in Japan
Suzuki, Soushi; Nijkamp, Peter; Rietveld, Piet - Tinbergen Instituut - 2013
The recent dramatic change in energy supply in Japan has prompted a search for a new energy-environment-economic efficiency policy, in which a compromise has to be found between a sufficient supply of energy resources, the development of low carbon emission technology, and a continuation of...
Persistent link: https://www.econbiz.de/10011256759
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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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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005137171
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462