The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this...

The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this...

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...

A new approach is proposed for forecasting a time series with multiple seasonal patterns. A state space model is developed for the series using the single source of error approach which enables us to develop explicit models for both additive and multiplicative seasonality. Parameter estimates...

This paper compares two alternative models for autocorrelated count time series. The first model can be viewed as a 'single source of error' discrete state space model, in which a time-varying parameter is specified as a function of lagged counts, with no additional source of error introduced....

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...