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The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10011431367

Hidden Markov model for municipal waste generation forecasting under uncertainties

Jiang, P.; Liu, X. - In: European journal of operational research : EJOR 250 (2016) 2, pp. 639-651

Persistent link: https://www.econbiz.de/10011441731

Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

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On the Bayesian risk evaluation of minimum guarantees in variable annuities

Byoung Hark Yoo; Ko, Bangwon; Kwon, Hyuk-Sung - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 21-43

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Effects of forecast errors on optimal utilisation in aggregate production planning with stochastic customer demand

Altendorfer, Klaus; Felberbauer, Thomas; Jodlbauer, Herbert - In: International journal of production research 54 (2016) 11/12, pp. 3718-3735

Persistent link: https://www.econbiz.de/10011497701

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621

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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Prediction of Lévy-driven CARMA processes

Brockwell, Peter J.; Lindner, Alexander - In: Journal of econometrics 189 (2015) 2, pp. 263-271

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Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling

Lohmann, Timo; Hering, Amanda S.; Rebennack, Steffen - In: European journal of operational research : EJOR 255 (2016) 1, pp. 243-258

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An empirical investigation of dynamic ordering policies

Larson, Chad R.; Turcic, Danko; Zhang, Fuqiang - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2118-2138

Persistent link: https://www.econbiz.de/10011372447

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