Showing 9,071 - 9,080 of 9,625
longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared forecast error is about 8% at …
Persistent link: https://www.econbiz.de/10008483926
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10008484079
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...
Persistent link: https://www.econbiz.de/10008487713
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10008487726
losses. Study of the literature on lamb sales called for an analysis of price forecasting. In my study, I performed a … forecasting of lamb prices in Hungary, Italy and Greek for the period between 1996 and 2007 based on the data of the European … Committee. Among the forecasting methods, Seasonal Decomposition and SARIMA models are the most precise, producers can achieve a …
Persistent link: https://www.econbiz.de/10008555572
forecasting of linear and non-linear systems. This paper presents a neuro-fuzzy model for forecasting the fruit production of some … fruit forecasting is based on Adaptive Neural Fuzzy Inference System (ANFIS). ANFIS uses a combination of the least …
Persistent link: https://www.econbiz.de/10008555577
capable of forecasting agricultural prices on a quarterly basis. Firstly, we find that seasonal cycles in agricultural …
Persistent link: https://www.econbiz.de/10005572028
Persistent link: https://www.econbiz.de/10005572061
Forecasting at business cycle frequencies is traditionally done with statistically estimated econometric models. This …
Persistent link: https://www.econbiz.de/10005572498
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …
Persistent link: https://www.econbiz.de/10008642224