The autumn forecast for Swiss health expenditure covers the years 2008 to 2011 (official data range to 2007). For the year 2008, the forecast assumes a higher-than-average growth in health expenditure. While a still solid growth is expected for the year 2009, a cooling down as a consequence of...

The spring forecast for Swiss health expenditure covers the years 2008 to 2010 (official data range to 2007). For the year 2008, the forecast assumes a higher-than-average growth in health expenditure. While a still solid growth is expected for the year 2009, a cooling down as a consequence of...

This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing...

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...

This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...

Basel II Pillar 3 reports provide information about banks' exposure towards a number of risk factors, such as corporate credit risk and interest rate risk. Previous studies find that the quality of such information is likely to be weak. We analyze the marginal contribution of pillar 3 exposure...

Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen j-dimensional beobachtbaren Variablen x = (x1,...xl) besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x der...

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...