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Time-varying risk aversion : an application to energy hedging
Cotter, John; Hanly, Jim - 2010
Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475662
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Forecasting project progress and early warning of project overruns with probabilistic methods
Reinschmidt, Kenneth F. (contributor) - 2007
Forecasting is a critical component of project management. Project managers must beable to make reliable predictions … focuses on forecasting project schedule progress withprobabilistic methods. Currently available methods, for example, the … in forecasting and project performance.The objective of this dissertation is to improve the predictive capabilities …
Persistent link: https://www.econbiz.de/10009464988
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Forecasting project progress and early warning of project overruns with probabilistic methods
Reinschmidt, Kenneth F. (contributor) - 2007
Forecasting is a critical component of project management. Project managers must beable to make reliable predictions … focuses on forecasting project schedule progress withprobabilistic methods. Currently available methods, for example, the … in forecasting and project performance.The objective of this dissertation is to improve the predictive capabilities …
Persistent link: https://www.econbiz.de/10009465019
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Time varying risk aversion : an application toenergy hedging
Cotter, John; Hanly, Jim - 2009
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475637
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Forecasting and Risk Analysis in Supply Chain Management
Hilmola, Olli-Pekka; Graham, Donald; Granger, Clive W. J.; … - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … this paper we explore advanced forecasting tools for decision support in supply chain scenarios and provide preliminary …Application of econometric principles and techniques (VAR-MGARCH) to risk analytics and forecasting in operations …
Persistent link: https://www.econbiz.de/10009432261
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GARCH Proof of Concept
Datta, Shoumen - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … and transparency. In this chapter we explore advanced forecasting tools for decision support in supply chain scenarios and … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis. In this work, we …
Persistent link: https://www.econbiz.de/10009433073
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Forecasting
Datta, Shoumen - 2008
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of … advanced forecasting tools for decision support in supply chain scenarios and provide preliminary simulation results from their … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis in diverse verticals …
Persistent link: https://www.econbiz.de/10009433075
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Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration
Goodfriend, Marvin; McCallum, Bennett T. - 2007
The paper reconsiders the role of money and banking in monetary policy analysis by including a banking sector and money in an optimizing model otherwise of a standard type. The model is implemented quantitatively, with a calibration based on US data. It is reasonably successful in providing an...
Persistent link: https://www.econbiz.de/10009441290
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US Monetary-Fiscal Policy Mix Evidence from a Quartovariate VECM
Zestos, George K.; Geary, Andrew N.; Cooksey, Kevin S. - 2011
This study investigates the effectiveness of monetary and fiscal policies in the US by employing cointegration and a quatrovariate Vector Error Correction Model together with Granger causality tests. Two models are estimated: (i) nominal national income, the ten-year government bond yield, and...
Persistent link: https://www.econbiz.de/10009441678
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Money balances, economic activities and selective capital controls in Malaysia
Mad, Che Ani - 2005
This paper reports results of a test of money demand and supply as predicted by recent studies applied to small economies with greater openness to external factors. These results suggest that the short- and long-run money balances are determined by both the interest rate policies as well as the...
Persistent link: https://www.econbiz.de/10009441696