investigation on the performance of the Realized-GARCH against a range of GARCH-based models to predict the volatility of five … predictability performance of Realized-GARCH model when compared to other GARCH-types analyzed when an out-of-sample case is …

In this study, we delve into the financial market to compare the performance of prominent AI and robotics … stocks have delivered superior performance, as indicated by metrics like Sharpe and Treynor ratios, providing insights into …

-copula simulated returns give very similar but not identical results. Furthermore, the copula simulation provides more accurate market …-risk estimates than historical simulation. Finally, the results support the notion that G7 countries can provide an important …

The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non …-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We … simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back …

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In … this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model …, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This …

, managers face a problem in obtaining accurate forecasts for the dynamics of changes in key business performance indicators. The … chain services and economic indicators of the retail trade network. Using the anyLogistix software tool, a simulation model … operational performance indicators of the supply chain of grocery retail. The results obtained show that the main factors of …

simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …