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Wie viel bringt eine verbesserte Produktionsprogrammplanung auf der Grundlage einer systematischen Auswertung empirischer Zeitreihen? Die Bedeutung von Prognosemodellen bei der Opt...
Mußhoff, Oliver; Hirschauer, Norbert - In: Agrarwirtschaft: Zeitschrift für Betriebswirtschaft, … 55 (2006) 4, pp. 175-187
farmers at the respective time of planning. In order to avoid solutions that exceed the farmers' risk tolerance, the variance … of the observed program's total gross margin which implicitly reflects the risk attitude of the individual farmer is used …
Persistent link: https://www.econbiz.de/10015078968
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10010281578
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Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...
Persistent link: https://www.econbiz.de/10011604746
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Time series analysis for financial market meltdowns
Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan - 2010
the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. …
Persistent link: https://www.econbiz.de/10010301728
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Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme
Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005
to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …
Persistent link: https://www.econbiz.de/10010269950
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Quantifying risk and uncertainty in macroeconomic forecasts
Knüppel, Malte; Tödter, Karl-Heinz - 2007
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non … macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained. …
Persistent link: https://www.econbiz.de/10010295862
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Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...
Persistent link: https://www.econbiz.de/10010325748
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Unconditional Quantile Regressions
Firpo, Sergio; Fortin, Nicole M.; Lemieux, Thomas - 2006
We propose a new regression method to estimate the impact of explanatory variables on quantiles of the unconditional distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on the...
Persistent link: https://www.econbiz.de/10011807357
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Robust risk management: Accounting for nonstationarity and heavy tails
Chen, Ying; Spokoiny, Vladimir - 2007
RiskMetrics, one risk management method considered as industry standard. However these assumptions are unrealistic. The primary … process is considered. A complete theory addresses both issues. In our study, we demonstrate the implementation of the … proposed method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed …
Persistent link: https://www.econbiz.de/10010263671
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An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics
Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...
Persistent link: https://www.econbiz.de/10010266935