Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To...

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags...

For risk management, implementing risk measures and backtesting them are essential tasks. Since the expected shortfall (ES) possesses coherence and tail sensitivity, the Basel Committee has raised the option to replace the classical risk measure value-at-risk (VaR) with ES. However, the...

Portfolio selection is often faced with large noisy data sets of strongly correlated asset returns, and so is prone to unstable portfolio weights and serious estimation error. To attenuate these problems, this paper proposes a new latent factor model equipped with both a suitable robust...

This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable...

Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...

Over the span of a decade, the spectrum of online activities has expanded worldwide. From casual browsing to social networking, from education to entertainment, and from engaging in commercial to philanthropic pursuits, the array of online activities has continued to diversify in scope. Some...

A recently introduced approach is extended to probabilistic electricity price forecasting (EPF) utilizing distributional artificial neural networks, based on a regularized distributional multilayer perceptron (DMLP). We develop this technique for a multivariate case EPF with incorporated...