Similar Search Results

Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests

Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22

Persistent link: https://www.econbiz.de/10011635106

Identification, analysis, modeling and prediction of time series characterizing the indicators of asset structure in the credit institutions operating in Romania

Calinica, Ramona; Calinica, Daniel - In: Analele Universităţii Dunărea de Jos Galaţi / 1 18 (2012) 2, pp. 89-96

Persistent link: https://www.econbiz.de/10010377066

With or without you : do financial data help to forecast industrial production?

Kitlinski, Tobias - 2015

This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to … evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models …-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was …

Persistent link: https://www.econbiz.de/10010529472

Multifractal models in finance : their origin, properties, and applications

Segnon, Mawuli; Lux, Thomas - 2013

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

Persistent link: https://www.econbiz.de/10009778581

Bayesian econometrics

Bernardi, Mauro; Grassi, Stefano; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 13 (2020) 11/257, pp. 1-2

econometrics and opened new possibilities to study complex economic and financial phenomena. Applications include risk measurement …, forecasting, assessment of policy effectiveness in macro, finance, marketing and monetary economics. …

Persistent link: https://www.econbiz.de/10012389851