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Hedging longevity risk in defined contribution pension schemes

Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - In: Computational management science 20 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014228476

Optimal risk for pension funds : the sustainability of the UK Universities pension scheme

Miles, David; Sefton, James A. - 2024

Persistent link: https://www.econbiz.de/10014581695

Switiching VARMA term structure models

Monfort, Alain; Pegoraro, Fulvio - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 105-153

Persistent link: https://www.econbiz.de/10003518289

Level changes in volatility models

Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of finance 8 (2012) 2/3, pp. 277-308

Persistent link: https://www.econbiz.de/10009548088

Testing for predictability in a noninvertible ARMA model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10009621936