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structural breaks. To that end, I perform a large-scale empirical study to compare the forecasting performance of single …–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … design for forecasting purposes in a high-dimensional context. I apply the new methodology to the forecasting of the US …
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"Risk-control practices are often carried out by the finance function of a corporation without much input from other functional areas and lack of analysis on their impact of the supply chain and operational decisions. This book aims to bridge the gap in the literature by providing an unified...
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