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Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments

Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009785429

On ruin probabilities with investments in a risky asset with a regime-switching price

Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897

Persistent link: https://www.econbiz.de/10013440255

Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility

Gong, Xiao-Li; Lu, Jin-Yan; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 8 (2022), pp. 1-22

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

Persistent link: https://www.econbiz.de/10013272633