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Forecasting and Risk Analysis in Supply Chain Management
Hilmola, Olli-Pekka; Graham, Donald; Granger, Clive W. J.; … - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … this paper we explore advanced forecasting tools for decision support in supply chain scenarios and provide preliminary …Application of econometric principles and techniques (VAR-MGARCH) to risk analytics and forecasting in operations …
Persistent link: https://www.econbiz.de/10009432261
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GARCH Proof of Concept
Datta, Shoumen - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … and transparency. In this chapter we explore advanced forecasting tools for decision support in supply chain scenarios and … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis. In this work, we …
Persistent link: https://www.econbiz.de/10009433073
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Forecasting
Datta, Shoumen - 2008
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of … advanced forecasting tools for decision support in supply chain scenarios and provide preliminary simulation results from their … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis in diverse verticals …
Persistent link: https://www.econbiz.de/10009433075
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Can We Apply Principles From Social Networking To Healthcare Informatics For Intelligent Data Analytics?
Shields, Andrew; Datta, Shoumen - 2008
appropriate acquisition of data including real-time data. Availability of high volume data may improve forecasting in healthcare …
Persistent link: https://www.econbiz.de/10009433074
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On the forecasting accuracy of multivariate GARCH models
LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …
Persistent link: https://www.econbiz.de/10008642224
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The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen; Stentoft, Lars; Violante, Franceso - In: International Journal of Forecasting 30 (2014) 1, pp. 78-98
We assess the predictive accuracies of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set of 444 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10010730021
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The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco - School of Economics and Management, University of Aarhus - 2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009492823
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Long Memory Process in Asset Returns with Multivariate GARCH innovations
Mootamri, Imene - HAL - 2011
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the …first conditional moment of US stock returns...
Persistent link: https://www.econbiz.de/10009644795
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The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009652126
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The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options
ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10010610494