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This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a...
Persistent link: https://www.econbiz.de/10014260238
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...
Persistent link: https://www.econbiz.de/10010253468
According to Basel III, financial institutions have to charge a Credit Valuation Adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one of the big challenges in risk management. Here we introduce an efficient method for the...
Persistent link: https://www.econbiz.de/10013044338
Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...
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-switching ; forecasting …
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infeed forecasting errors updated every 15-minute, which participants in the intraday market typically incorporate in the … to accurately predict 15-minute renewable forecasts. Since ex-ante updated forecasting errors of renewables infeed are …
Persistent link: https://www.econbiz.de/10012834121
oil futures prices, exchange rates of particular countries and stock-market indexes. Out-of-sample forecasting results …, they generally lose their forecasting power at higher forecast horizons. The results also suggest that exchange rates help …, and fınds that forecast averaging significantly improves the forecasting performances …
Persistent link: https://www.econbiz.de/10012957399