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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10009743826
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Long run recursive VAR models and QR decompositions
Hoffmann, Mathias - 2000
Persistent link: https://www.econbiz.de/10001504012
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Long run recursive VAR models and QR decompositions
Hoffmann, Mathias - In: Economics letters 73 (2001) 1, pp. 15-20
Persistent link: https://www.econbiz.de/10001613310
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Multivariate threshold models : TVARs and TVECMs
Galvão, Ana Beatriz C. - In: Brazilian review of econometrics : the review of the … 23 (2003) 1, pp. 143-171
Persistent link: https://www.econbiz.de/10001806333
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Ratio Vectors of Fourth Degree Polynomials
Horwitz, Alan - 2018
necessary conditions were proven in ([3]). The main results of this paper involve using the theory of Groebner bases to prove …
Persistent link: https://www.econbiz.de/10012918132
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905
Persistent link: https://www.econbiz.de/10011641047
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CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
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On vector variational E-inequalities and differentiable vector optimization problem
Antczak, Tadeusz; Abdulaleem, Najeeb - In: Opsearch : journal of the Operational Research Society … 61 (2024) 1, pp. 460-482
Persistent link: https://www.econbiz.de/10015127181