This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

A multivariate hidden Markov model is proposed to explain the price evolution of Bitcoin, Ethereum, Ripple, Litecoin, and Bitcoin Cash. The observed daily log-returns of these five major cryptocurrencies are modeled jointly. They are assumed to be correlated according to a variance-covariance...

This paper proposes a novel approach to provide directional forecasts for carry trade strategies; this approach is based on Support VectorMachines (SVM), a Learning algorithm which delivers extremely promising results. Building on recent findings of the literature on carry trade we condition the...

The question on the predictive power of different exchange rate equilibrium models is one of the oldest and most intriguing in international finance and assets trading. On one side there is evidence - starting from Meese and Rogoff (1983) to Cheung, Chinn and Pascual (2005) - about the poor...

Following IAS/IFRS, the current accounting regime for European life insurance companies is oriented towards delaying the recognition and distribution of profit, and is still largely rooted in requirements for statutory solvency reporting. But, since the late 1980s, some insurers and banks with...