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Predictive behavior : an experimental study

Brennscheidt, Gunnar - 1993

Persistent link: https://www.econbiz.de/10013278172

Forecasting and uncertainty : a survey

Makridakis, Spyros G.; Bakas, Nikolas - In: Risk and decision analysis 6 (2015/2016) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10011573720

The relation between overreaction in forecasts and uncertainty : a nonlinear approach

Leppin, Julian Sebastian - 2014 - This version: November 2014

This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...

Persistent link: https://www.econbiz.de/10010438928

Exploring the sources of uncertainty : why does bagging for time series forecasting work?

Petropoulos, Fotios; Hyndman, Rob J.; Bergmeir, Christoph - In: European journal of operational research : EJOR 268 (2018) 2, pp. 545-554

Persistent link: https://www.econbiz.de/10011852628

Value-at-risk : theory and practice

Holton, Glyn A. - 2003

Persistent link: https://www.econbiz.de/10001748316

Assessing ChatGPT's proficiency in quantitative risk management

Hofert, Marius - In: Risks : open access journal 11 (2023) 9, pp. 1-29

can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …

Persistent link: https://www.econbiz.de/10014375303

Joint Prediction Bands for Macroeconomic Risk Management

Akram, Q. Farooq - 2016

In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty...

Persistent link: https://www.econbiz.de/10012989353

Risk models based on uncertainty quantification for illicit traffic time series in customs context

Hammadi, Lamia; Cursi, Eduardo Souza de; Barbu, Vlad Stefan - In: International journal of shipping and transport … 14 (2022) 1/2, pp. 3-32

Persistent link: https://www.econbiz.de/10012990506

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin - 2013

financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …

Persistent link: https://www.econbiz.de/10013084434

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

Persistent link: https://www.econbiz.de/10009723920