In density forecasts, respondents are asked to assign probabilities to pre-specifted ranges of inflation. We show in two large-scale experiments that responses vary when we modify the response scale. Asking an identical question with modifted response scales induces different answers: Shifting,...

Accurate estimation of different risk measures for financial portfolios is of utmost importance equally for financial institutions as well as regulators, however, many existing models fail to incorporate any high dimensional dependence structures adequately. To overcome this problem and capture...

In this paper, we propose a new Volatility-Spillover-Asymmetric Conditional-Auto-Regressive-Range (VS-ACARR) approach to model/forecast Bitcoin’s volatility (Price-range). Traditionally, CARR models are uni-variate but we introduce volatility spillover from another series (Crude oil) in the...

This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an...