This study compares parametric and non-parametric techniques in terms of their forecasting power on implied volatility indices. We extend our comparisons using combined and model-averaging models. The forecasting models are applied on eight implied volatility indices of the most important stock...

In recent years Singular Spectrum Analysis (SSA), used as a powerful technique in time series analysis, has been developed and applied to many practical problems. In this paper, the performance of the SSA technique has been considered by applying it to a well-known time series data set, namely,...

The characteristic function of the folded normal distribution and its moment function are derived. The entropy of the folded normal distribution and the Kullback–Leibler from the normal and half normal distributions are approximated using Taylor series. The accuracy of the results are also...

In this paper, we introduce a new approximation for the null distribution of the likelihood ratio test for the general case. We compare the the critical values obtained by the new approximation to the values which are obtained by the exact distribution for the cases k=1, 2 to test the accuracy...

In this paper, we obtain bounds for the population coefficient of variation (CV) in Bernoulli, Discrete Uniform, Normal and Exponential distributions. We also show that the sample coefficient of variation (cv) is not an accurate estimator of the population CV in the above indicated...

This study provides a new approach for implied volatility indices forecasting. We assess whether non-parametric techniques provide better predictions of implied volatility compared to standard forecasting models, such as AFRIMA and HAR. A combination of Singular Spectrum Analysis (SSA) and...

Retrieving valuable knowledge and statistical patterns from official data has a great potential in supporting strategic policy making. Data Mining (DM) techniques are well-known for providing flexible and efficient analytical tools for data processing. In this paper, we provide an introduction...

The thesis comprises of six independent chapters with the common theme of financial repression and liberalization. Financial repression consists of the following three elements: First, the banking system is forced to hold government bonds and money through the imposition of high reserve and...

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

The transition from Millennium Development Goals (MDGs) to Sustainable Development Goals (SDGs) has substantially shifted the policy debate from growth to inclusive growth. In this short note, we revisit the trust-growth nexus by exploiting a dataset on quality of growth (QG), recently made...