Similar Search Results - EconBiz

The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17

According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...

Persistent link: https://www.econbiz.de/10011866503

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

heteroscedasticity-generalised extreme value distribution (SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five … obtain independently and identically distributed (i.i.d) residuals and fit the MS(k)-EGARCH(p,q)-GEVD to i.i.d residuals …; while, in the second stage, we set-up an EWS model. The results of the estimated MS(2)-EGARCH(1,1) -GEVD revealed that the …

Persistent link: https://www.econbiz.de/10012508859

Forecasting uncertainty intervals for return period of extreme daily electricity consumption

Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225

Persistent link: https://www.econbiz.de/10013366091

Estimating stochastic volatility models using integrated nested Laplace approximations

Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503

Persistent link: https://www.econbiz.de/10009509861

Alternative formulations of the leverage effect in a stochastic volatility model with asymmetric heavy-tailed errors

Deschamps, Philippe J. - 2015

Persistent link: https://www.econbiz.de/10011289959

Have standard VARs remained stable since the crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Persistent link: https://www.econbiz.de/10010403081

Have standard VARs remained stable since the crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Persistent link: https://www.econbiz.de/10010406729

Forecasting global equity indices using large Bayesian VARs

Huber, Florian; Krisztin, Tamás; Piribauer, Philipp - 2014

Persistent link: https://www.econbiz.de/10010480996

Density forecasting using Bayesian global vector autoregressions with common stochastic volatility

Huber, Florian - 2014

Persistent link: https://www.econbiz.de/10010480999

Stochastic volatility models for the Brent oil futures market : forecasting and extracting conditional moments

Solibakke, Per Bjarte - In: OPEC energy review 39 (2015) 2, pp. 184-221

Persistent link: https://www.econbiz.de/10011414460

A service of the