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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012544443
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
Persistent link: https://www.econbiz.de/10012628398
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Estimating probabilities of default with support vector machines
Härdle, Wolfgang (contributor); Moro, Rouslan (contributor) - 2007
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10003633940
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Adaptive pointwise estimation in time-inhomogeneous time-series models
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2008
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10003635965
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The bayesian additive classification tree applied to credit risk modelling
Zhang, Junni L. (contributor); Härdle, Wolfgang (contributor) - 2008
important for banks to construct their risk profile and operate successfully. We use the German Creditreform database and …
Persistent link: https://www.econbiz.de/10003635971
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The default risk of firms examined with smooth support vector machines
Härdle, Wolfgang; Lee, Yuh-Jye; Schäfer, Dorothea; … - 2008
decision task of loan officers. -- Insolvency Prognosis ; SVMs ; Statistical Learning Theory ; Non-parametric Classification …
Persistent link: https://www.econbiz.de/10003636001
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets … proper risk valuation of options, the degree of persistence should be investigated and appropriate models that incorporate …
Persistent link: https://www.econbiz.de/10003636008