Similar Search Results

Use of neural networks to accommodate seasonal fluctuations when equalizing time series for the CZK/RMB exchange rate

Rowland, Zuzana - In: Risks 9 (2021) 1, pp. 1-21

The global nature of the Czech economy means that quantitative knowledge of the influence of the exchange rate provides useful information for all participants in the international economy. Systematic and academic research show that the issue of estimating the Czech crown/Chinese yuan exchange...

Persistent link: https://www.econbiz.de/10013200671

Modern Approaches to Dynamic Portfolio Optimization

Schiele, Philipp - In: Junior Management Science (JUMS) 6 (2021) 1, pp. 149-189

Although appealing from a theoretical point of view, empirical assessments of dynamic portfolio optimizations in a mean-variance framework often fail to reach the high expectations set forth by analytical evaluations. A major reason for this shortfall is the imprecise estimation of asset moments...

Persistent link: https://www.econbiz.de/10014528830

A deep learning integrated Lee-Carter model

Nigri, Andrea; Levantesi, Susanna; Marino, Mario; … - In: Risks 7 (2019) 1, pp. 1-16

In the field of mortality, the Lee-Carter based approach can be considered the milestone to forecast mortality rates among stochastic models. We could define a 'Lee-Carter model family' that embraces all developments of this model, including its first formulation (1992) that remains the...

Persistent link: https://www.econbiz.de/10013200451

Contracts for difference: A reinforcement learning approach

Zengeler, Nico; Handmann, Uwe - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-12

We present a deep reinforcement learning framework for an automatic trading of contracts for difference (CfD) on indices at a high frequency. Our contribution proves that reinforcement learning agents with recurrent long short-term memory (LSTM) networks can learn from recent market history and...

Persistent link: https://www.econbiz.de/10012611307

A deep learning integrated Cairns-Blake-Dowd (CBD) sytematic mortality risk model

Odhiambo, Joab; Weke, Patrick; Ngare, Philip - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-12

Many actuarial science researchers on stochastic modeling and forecasting of systematic mortality risk use Cairns-Blake-Dowd (CBD) Model (2006) due to its ability to consider the cohort effects. A three-factor stochastic mortality model has three parameters that describe the mortality trends...

Persistent link: https://www.econbiz.de/10012611816

Współczesna polityka społeczna wobec niepełnosprawności i osób niepełnosprawnych

Klimczuk, Andrzej - In: Pogranicze. Studia Społeczne Tom XXII (2013), pp. 185-200

and objectives of social policy in a holistic paradigm of normalization. This summary contains possible future directions …

Persistent link: https://www.econbiz.de/10010332938

Identifying the elasticity of substitution with biased technical change

León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - 2009

in terms of robustly capturing production and technical parameters, especially when merged with "normalization". Our … understanding the empirical relevance of normalization and the variability underlying past empirical studies. …

Persistent link: https://www.econbiz.de/10011605047

Shocking stuff: technology, hours, and factor substitution

Cantore, Cristiano; León-Ledesma, Miguel A.; McAdam, Peter - 2010

results are also important as: i) we introduce the concept of normalization for DSGE models and, ii) they may help interpret …

Persistent link: https://www.econbiz.de/10011605324

The normalized CES production function: theory and empirics

Klump, Rainer; McAdam, Peter; Willman, Alpo - 2011

revealed, “normalization” of production functions and production-technology systems holds out the promise of resolving many of … normalization (defined by the fixing of baseline values for relevant variables). First, we recall how the normalized CES function … came into existence and what normalization implies for its formal properties. Then we deal with the key role of …

Persistent link: https://www.econbiz.de/10011605340

Endogenous labor share cycles: theory and evidence

Growiec, Jakub; McAdam, Peter; Muck, Jakub - 2015

Based on long US time series we document a range of empirical properties of the labor’s share of GDP, including its substantial medium-run swings. We explore the extent to which these empirical regularities can be explained by a calibrated micro-founded long-run economic growth model with...

Persistent link: https://www.econbiz.de/10011605810