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Subjective Expected Utility With a Spectral State Space

Pivato, Marcus - 2018

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...

Persistent link: https://www.econbiz.de/10012912951

Assessing ChatGPT's proficiency in quantitative risk management

Hofert, Marius - In: Risks : open access journal 11 (2023) 9, pp. 1-29

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 …

Persistent link: https://www.econbiz.de/10014375303

Forecasting and uncertainty : a survey

Makridakis, Spyros G.; Bakas, Nikolas - In: Risk and decision analysis 6 (2015/2016) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10011573720

Quantile coherency : a general measure for dependence between cyclical economic variables

Baruník, Jozef; Kley, Tobias - In: The econometrics journal 22 (2019) 2, pp. 131-152

Persistent link: https://www.econbiz.de/10012166706

Forecasting Tail Risks

De Nicolo, Gianni - 2015

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

Persistent link: https://www.econbiz.de/10013024363

Forecasting Tail Risks

De Nicolo, Gianni - 2015

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...

Persistent link: https://www.econbiz.de/10013012648

Tracking Uncertainty Through the Relative Sentiment Shift Series

Lee, Seohyun - 2019

Projection model with external instruments. Based on the psychological theory of conviction narratives, we construct a Relative …

Persistent link: https://www.econbiz.de/10012891151

Modeling Model Uncertainty

Onatski, Alexei; Williams, Noah - 2021

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...

Persistent link: https://www.econbiz.de/10013320217

Prediction inference for time series

DeLuna, Xavier - 1999

Persistent link: https://www.econbiz.de/10001446543

Unit root tests in the presence of uncertainty about the non-stochastic trend

Ayat, K. Leila; Burridge, Peter - In: Journal of econometrics 95 (2000) 1, pp. 71-96

Persistent link: https://www.econbiz.de/10001432518