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Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...
Persistent link: https://www.econbiz.de/10015215098
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we …
Persistent link: https://www.econbiz.de/10015229382
backtesting exercise using two datasets of 5 and 15 coins for market risk forecasting and a dataset of 42 coins for credit risk … forecasting was performed. The Value-at-Risk and the Expected Shortfall for single coins and for an equally weighted portfolio … were calculated and evaluated with several tests. The ZPP approach was used for the estimation of the probability of …
Persistent link: https://www.econbiz.de/10015265126
literature to professional practice, alternative forecasting models, ranging from credit scoring models to machine learning and … time series-based models, and different forecasting horizons. We found that the choice of the coin death definition … affected the set of the best forecasting models to compute the probability of death. However, this choice was not critical, and …
Persistent link: https://www.econbiz.de/10015268207
This paper examines the trading performances of several technical oscillators created using crypto assets pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were...
Persistent link: https://www.econbiz.de/10015269038
various forecasting models, including credit scoring models, machine learning models, and time-series-based models. Our study … considered different definitions of ``dead coins'' and various forecasting horizons. Our results indicate that credit scoring …
Persistent link: https://www.econbiz.de/10015269951
forecasting performances across most of the forecasting horizons. Moreover, we found that models using the VRP as an additional … forecasting performances were not statistically different for most models, and only the Principal Component Regression (PCR) and … the Partial least squares (PLS) regression were consistently excluded from the set of best forecasting models. These …
Persistent link: https://www.econbiz.de/10015270524
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10015243201
increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …
Persistent link: https://www.econbiz.de/10015243914
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10015243989