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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

Iterated importance sampling in missing data problems.

Celeux, Gilles; Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine - 2006

Missing variable models are typical benchmarks for new computational techniques in that the ill-posed nature of missing variable models offer a challenging testing ground for these techniques. This was the case for the EM algorithm and the Gibbs sampler, and this is also true for importance...

Persistent link: https://www.econbiz.de/10009019018

Iterated importance sampling in missing data problems

Celeux, Gilles; Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2006

Persistent link: https://www.econbiz.de/10010708157

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 stochastic volatility model with GH skew student's t-distribution : application to Latin-American stock returns

Lengua Lafosse, Patricia; Bayes, Cristian; Rodriguez, … - 2015

Persistent link: https://www.econbiz.de/10011415404

Measuring international uncertainty using global vector autoregressions with drifting parameters

Pfarrhofer, Michael - 2019

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...

Persistent link: https://www.econbiz.de/10012052678

Density forecasting using Bayesian global vector autoregressions with stochastic volatility

Huber, Florian - In: International journal of forecasting 32 (2016) 3, pp. 818-837

Persistent link: https://www.econbiz.de/10011621824

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