Accurate forecasting of insurance claims is of the utmost importance for insurance activity as the evolution of claims determines cash outflows and the pricing, and thus the profitability, of the underlying insurance coverage. These are used as inputs when the insurance company drafts its...

The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

In this paper, we use recent advances in the financial econometrics literature to model the time-varying conditional variance in five energy markets – crude oil, gasoline, heating oil, propane, and natural gas – using daily data over the period from January 3, 1994 to September 23, 2008. We...

In this paper we examine the predictability power of long term risk premium over Housing prices in U.S.A. of a period of 19 years (1991-2009). For reasons that are cited clearly in the text, the interest rate risk premium is preferred over yield curve. Under a probit framework, it is tested...

Several studies have established the predictive power of the yield curve, ie: the difference between long and short term bond rates, in terms of real economic activity, for the U.S. and various European countries. In this paper we use data from the European Union (EU15), ranging from 1994:Q1 to...