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The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...
Persistent link: https://www.econbiz.de/10005784862
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010895342
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010544325
The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...
Persistent link: https://www.econbiz.de/10005677968
Due to its ability to allow and account for similarities betweenpairs of alternatives, the nested logit model is increasingly used in practical applications. However the fact that there are two different specifications of the nested logit model has not received adequate attention. The utility...
Persistent link: https://www.econbiz.de/10005677976
–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither …
Persistent link: https://www.econbiz.de/10005489961
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal process- ing, mechanical ingeneering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...
Persistent link: https://www.econbiz.de/10010728046
structure. To evaluate ex–ante forecasting performance for particular short, medium and long term rates and for the level, slope …, we propose a data driven, adaptive model selection strategy to ’predict the best forecasting model’ out of a set of 100 … alternative implementations of the PCA/VAR model. This approach is shown to outperform forecasting schemes relying on global …
Persistent link: https://www.econbiz.de/10005678035
. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors …
Persistent link: https://www.econbiz.de/10005207936
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China …
Persistent link: https://www.econbiz.de/10011265304