Search Results - subject:"model validation"

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...

Persistent link: https://www.econbiz.de/10012018629

The population accuracy index : a new measure of population stability for model monitoring

Taplin, Ross; Hunt, Clive - In: Risks : open access journal 7 (2019) 2/53, pp. 1-11

Risk models developed on one dataset are often applied to new data and, in such cases, it is prudent to check that the model is suitable for the new data. An important application is in the banking industry, where statistical models are applied to loans to determine provisions and capital...

Persistent link: https://www.econbiz.de/10012019122

Probing the mechanism : lending rate setting in a data-driven agent-based model

Papadopoulos, Georgios - 2019

Persistent link: https://www.econbiz.de/10014302267

SECI model questionnaire validation for hospitality establishments

Avdimiotis, Spyros; Kilipiris, Fotis; Tragouda, Andreanna - In: International journal of technology marketing : IJTMkt 16 (2022) 4, pp. 370-385

Persistent link: https://www.econbiz.de/10013486084

General bounds on the area under the receiver operating characteristic curve and other performance measures when only a single sensitivity and specificity point is known

Stein, Roger M. - In: The journal of risk model validation 16 (2022) 2, pp. 85-107

Persistent link: https://www.econbiz.de/10014540597

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Expected economy rate

Dona, Nirodha Epasinghege; Nguyen, Robert; Gill, Paramjit; … - In: Estudios de economía aplicada : revista promovida por … 40 (2022) 1, pp. 71-84

Persistent link: https://www.econbiz.de/10014229773

Hidden Markov model for stock trading

Nguyen, Nguyet - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-17

Hidden Markov model (HMM) is a statistical signal prediction model, which has been widely used to predict economic regimes and stock prices. In this paper, we introduce the application ofHMMin trading stocks (with S&P 500 index being an example) based on the stock price predictions. The...

Persistent link: https://www.econbiz.de/10011996122

Hidden Markov model for stock trading

Nguyen, Nguyet - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10011883487

Statistical validation of multi-agent financial models using the H-infinity Kalman Filter

Rigatos, Gerasimos G. - In: Computational economics 58 (2021) 3, pp. 777-798

Persistent link: https://www.econbiz.de/10012651029