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An agent faces a decision under uncertainty with the following structure. There is a set A of “acts”; each will yield an unknown real-valued payoff. Linear combinations of acts are feasible; thus, A is a vector space. But there is no pre-specified set of states of nature. Instead, there is a...
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can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …
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the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
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This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly U.S. data for the period 1972:1-2014:12 Pseudo-real time forecasts are generated from: (a) sets of autoregressive and...
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Projection model with external instruments. Based on the psychological theory of conviction narratives, we construct a Relative …
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Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze different sources of uncertainty in one coherent structure useful for policy decisions. We show how to estimate the size of the uncertainty based on time series data, and...
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