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Technical note: cyclic variables and Markov decision processes

Haviv, Avery - In: Operations research 68 (2020) 4, pp. 1231-1237

Persistent link: https://www.econbiz.de/10012288435

Portfolio risk and stress across the business cycle

Chakraborty, Sandip; Kakani, Ram Kumar; Sampath, Aravind - In: Journal of international financial markets, … 80 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013533149

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014431618

Score-driven Markov-switching EGARCH models : an application to systematic risk analysis

Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060

Persistent link: https://www.econbiz.de/10012063386

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

Persistent link: https://www.econbiz.de/10014314068

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014285859

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014316029

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

Application of Kalman-Filter technique for optimal use of time-series information in dynamic optimization problems

Vishwakarma, Keshav P. - 1970 - Vervielf.

Persistent link: https://www.econbiz.de/10001572994

Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach

Collado, Ricardo - 2019

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

Persistent link: https://www.econbiz.de/10012894079