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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
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
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
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
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
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
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
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
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
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