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The stochastic Mitra-Wan forestry model : risk neutral and risk averse cases

Piazza, Adriana; Pagnoncelli, Bernardo K. - In: Journal of economics 115 (2015) 2, pp. 175-194

Persistent link: https://www.econbiz.de/10010532443

A Forest Full of Risk Forecasts for Managing Volatility

Kleen, Onno; Tetereva, Anastasija - 2022

We propose a heterogeneous autoregressive (HAR) model with time-varying parameters in the form of a local linear random forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging, the building blocks of our forest are HAR panel...

Persistent link: https://www.econbiz.de/10013404288

Auswirkungen der Steuervergünstigung für außerordentliche Holznutzungen auf die Wahl waldbaulicher Alternativen : eine Simulationsstudie aus der Sicht eines risikomeidenden Entscheiders

Nürnberger, Karin; Hahn, Andreas; Rößiger, Jörg; … - In: Wie viel Markt und wie viel Regulierung braucht eine …, (pp. 237-245). 2014

Persistent link: https://www.econbiz.de/10010423821

Modeling the connection between bank systemic risk and balance-sheet liquidity proxies through random forest regressions

Zeldea, Cristina - In: Administrative Sciences : open access journal 10 (2020) 3/52, pp. 1-14

Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by a series of...

Persistent link: https://www.econbiz.de/10012271424

Risk-averse two-stage distributionally robust optimisation for logistics planning in disaster relief management

Wang, Duo; Yang, Kai; Yang, Lixing - In: International journal of production research 61 (2023) 2, pp. 668-691

Persistent link: https://www.econbiz.de/10013531038

The value premium and uncertainty : an approach by support vector regression algorithm

Khoa Bui Thanh; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …

Persistent link: https://www.econbiz.de/10014500739

Approving the ISDWIR method of risk measurement in making risk management decision

Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The method is based on dynamic enterprise risk matri- ces. The...

Persistent link: https://www.econbiz.de/10010385650

On measuring uncertainty : snakes and ladders

Junankar, Pramod N. - 2016

surge in the stock market would be self-correcting. Recent papers have discussed the role of "uncertainty" and its … measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market …, GDP, forecaster disagreement, mentions of uncertainty in news media, and the dispersion of productivity shocks to firms …

Persistent link: https://www.econbiz.de/10011543578

Do market prices aggregate information about macroeconomic uncertainty (or risk)?

Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534

Persistent link: https://www.econbiz.de/10011295329

Problems connected with measuring risks of foreign direct investments

Kozłowska, Magdalena - In: Journal of economics & management 20 (2015) 2, pp. 93-105

Persistent link: https://www.econbiz.de/10011382602