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Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Optimal multi-step-ahead prediction of ARCH/GARCH models and NoVaS transformation

Chen, Jie; Politis, Dimitris N. - In: Econometrics : open access journal 7 (2019) 3/34, pp. 1-23

This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...

Persistent link: https://www.econbiz.de/10012160870

A control strategy of ES system based on short term wind-PV power prediction

Ji, Huizheng; Niu, Dongxiao; Wu, Han; Wu, Meiqiong; Li, … - In: International journal of technology, policy and … 19 (2019) 4, pp. 329-351

Persistent link: https://www.econbiz.de/10012168915

Bayesian item response analysis of method-of-payment habits in banking surveys

Muthukumarana, Saman; Vincent, Kyle; Tichon, Jenna G. - In: Journal of mathematical finance 9 (2019) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10012116653

Uncertainty propagation from the cell transmission traffic flow model to emission predictions : a data-driven approach

Sayegh, Arwa S.; Connors, Richard D.; Tate, James E. - In: Transportation science : a journal of the Institute for … 52 (2018) 6, pp. 1327-1346

Persistent link: https://www.econbiz.de/10011975790

Prediction of China's industrial carbon peak : based on GDIM-MC model and LSTM-NN model

Li, Wen-kai; Wen, Hong-xing; Nie, Pu-yan - In: Energy strategy reviews 50 (2023), pp. 1-13

comprehensively used Monte Carlo simulation and LSTM Neural Network model to predict the evolution trends of China's industrial carbon …. Then, basing on the Monte Carlo dynamic simulation, we could draw the three kinds of carbon emissions route that it will …

Persistent link: https://www.econbiz.de/10014574953

Forecasting the medical workforce : a stochastic agent-based simulation approach

Lopes, Mário; Almeida, Alvaro Santos; Almada-Lobo, Bernardo - In: Health care management science 21 (2018) 1, pp. 52-75

Persistent link: https://www.econbiz.de/10011800566

Quantifying model selection risk in macroeconomic sensitivity models

Breeden, Joseph L.; Dobrinov, Nikolay - In: The journal of risk model validation 16 (2022) 3, pp. 55-71

Persistent link: https://www.econbiz.de/10014540599

Extremum Monte Carlo filters : real-time signal extraction via simulation and regression

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023 - This version: March 23, 2023

This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …

Persistent link: https://www.econbiz.de/10014247627

Assessing dimensionality of the ideal point item response theory model using posterior predictive model checking

Joo, Seang-Hwane; Lee, Philseok; Park, Jung Yeon; … - In: Organizational research methods : ORM 26 (2023) 2, pp. 353-382

Persistent link: https://www.econbiz.de/10014295354