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ECONIS (ZBW)
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It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2014
The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...
Persistent link: https://www.econbiz.de/10010402299
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2
Forecasting spot prices in bulk shipping using multivariate and univariate models
Geomelos, N. D.
;
Xideas, E.
- In:
Cogent economics & finance
2
(
2014
)
1
,
pp. 2-37
This paper employs an applied econometric study concerning forecasting spot prices in bulk shipping in both markets of tankers and bulk carriers in a disaggregated level. This research is essential, as spot market is one of the most volatile markets and there is a great uncertainty about the...
Persistent link: https://www.econbiz.de/10010486463
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3
Dating NBER Recessions with Philadelphia Fed U.S. Coincident Economic Indices (Harmonized GDP Approach)
van Vuuren, Dwaine
-
2011
We extend the work done in our “Redux” paper from Oct 2011 to find a weighted composite U.S coincident economic index (CEI) that includes non-zero weightings from all 50 states and when used in a standard Probit model, produces a perfect correlation (R2 of 1) to NBER recession dating. We...
Persistent link: https://www.econbiz.de/10013118636
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4
A Forecasting Support System for Temperature-Controlled Transport
Despagne, Wilfried
-
2011
Wilfried Despagne describes a Web-based forecasting support system, “Horizons,” that was designed for a French subsidiary of a European temperature-controlled-transport group. The major challenge was the adaptation of the system to more than 70 different transportation hubs, requiring a...
Persistent link: https://www.econbiz.de/10013120364
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5
Data Science and Prediction
Dhar, Vasant
-
2012
The world's data is growing more than 40% annually. Coupled with exponentially growing computing horsepower, this provides us with unprecedented basis for “learning” useful things from the data through statistical induction without material human intervention and acting on them. Philosophers...
Persistent link: https://www.econbiz.de/10013104692
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6
Log-Normal Creaming and the Likelihood of Discovering Additional Giant Petroleum Fields
Lillestol, Jostein
-
2016
This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some...
Persistent link: https://www.econbiz.de/10013000314
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7
NOWCASTING with NNS
Viole, Fred
-
2020
This quick introductory note is intended to provide the background to the frequency alignment problem of analyzing disparate economic variables of interest, a solution, and its use in the nonparametric vector autoregression NNS.VAR()
Persistent link: https://www.econbiz.de/10012835401
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8
What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor
-
2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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9
Value at Risk Forecasting
Linssen, Thedo
-
2019
The purpose of this paper is to investigate whether a dynamic Value at Risk model and high frequency realized volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As such, this paper constructs 60 conditional volatility...
Persistent link: https://www.econbiz.de/10012898513
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10
Predicting Outcomes in Investment Treaty Arbitration
Franck, Susan D.
-
2016
Persistent link: https://www.econbiz.de/10013005072
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