Similar Search Results

Smoothing for Discrete-Valued Time Series

Cai, Z.; Yao, Q.; Zhang, W.Y. - 2001

We deal with smoothed estimators for conditional probability functions of discrete-valued time series (Y-1) under two different settings. When the conditional distribution of Y-1 given its lagged values falls in a parametric family and depends on exogenous random variables, a smoothed maximum...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009455689

Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework

Gabrielsen, A.; Zagaglia, Paolo; Kirchner, A.; Liu, Z. - 2012

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015232396

Integrating multiple data sources for stock prediction

Wu, D.; Fung, G. P.C.; Yu, J. X.; Liu, Z. - 2008

In many real world applications, decisions are usually made by collecting and judging information from multiple different data sources. Let us take the stock market as an example. We never make our decision based on just one single piece of advice, but always rely on a collection of information,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009448268

Regulators as ‘agents’: power and personality in risk regulation and a role for agent-based simulation

Davies, G.J.; Kendall, G.; Soane, Emma; Li, J.; Charnley, F. - 2010

We critically examine how evidence and knowledge are brokered between the various actors (agents) in regulatory decisions on risk. Following a précis of context and regulatory process, we explore the role power and personality might play as evidence is synthesised and used to inform risk...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009439542