Showing 191 - 200 of 275
The Deepwater Horizon incident demonstrated that most of the oil left is deep offshore or in other difficult to reach locations. Moreover, obtaining the oil remaining in currently producing reservoirs requires additional equipment and technology that comes at a higher price in both capital and...
Persistent link: https://www.econbiz.de/10009323924
The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...
Persistent link: https://www.econbiz.de/10009002154
The financial crisis of 2007-2009 has begun in July 2007 when a loss of confidence by investors in the value of securitized mortgages in the United States resulted in a liquidity crisis. World stock markets peaked in October 2007 and then entered a period of high volatility which culminated with...
Persistent link: https://www.econbiz.de/10008596625
Problems which are related to copula functions, their properties, selection methods for specific baseline data, evaluation, and possible applications are extremely sparingly discussed in the world literature, and are almost not discussed at all in the Russian literature. At the same time, we...
Persistent link: https://www.econbiz.de/10009140905
Sornette, Johansen, and Bouchaud (1996), Sornette and Johansen (1997), Johansen, Ledoit, and Sornette (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations,...
Persistent link: https://www.econbiz.de/10010679808
A two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions has been recently proposed. In addition, a three-stage semi-parametric estimation method based on Kendall's tau in order to estimate the Student's t copula has also been...
Persistent link: https://www.econbiz.de/10008462383
The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced....
Persistent link: https://www.econbiz.de/10009018561
Persistent link: https://www.econbiz.de/10009806364
The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009 - 09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...
Persistent link: https://www.econbiz.de/10011278827
Persistent link: https://www.econbiz.de/10010122636