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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
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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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Events in Indonesia: exploring the limits to formal tourism trends forecasting methods in complex crisis situations
Prideaux, B; Laws, E; Faulkner, B - 2003
paper examines the issue of forecasting by comparing forecasts of inbound tourism made prior to the political and economic … forecasting are not able to cope with unexpected crises and other disasters and that alternative methods need to be examined … according to a scale of severity, probability, type of event, level of certainty and suggested forecasting tools for each scale …
Persistent link: https://www.econbiz.de/10009448389
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Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence
Degiannakis, Stavros; Floros, Christos; Livada, Alexandra - In: Managerial Finance 38 (2012) March, pp. 436-452
provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed …
Persistent link: https://www.econbiz.de/10010540353
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An analytical framework for supply network risk propagation: A Bayesian network approach
Garvey, Myles D.; Carnovale, Steven; Yeniyurt, Sengun - In: European Journal of Operational Research 243 (2015) 2, pp. 618-627
There are numerous examples of supply chain disruptions that have occurred which have had devastating impacts not only on a single firm but also on various other firms in the supply network. We utilize a Bayesian Network (BN) approach and develop a model of risk propagation in a supply network....
Persistent link: https://www.econbiz.de/10011209301
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Agriculture, food safety, and foodborne diseases: understanding the links between agriculture and health
Todd, Ewen C. D.; Narrod, Clare - International Food Policy Research Institute (IFPRI) - 2006
"To improve the ability of farmers in developing countries to reduce the burden of foodborne illness, government agencies need to take the following steps: (1) Implement a farm-to-table approach to agricultural health by focusing efforts on the prevention of potential food safety and...
Persistent link: https://www.econbiz.de/10004996967
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Agricultural supply chain optimization and complexity: A comparison of analytic vs simulated solutions and policies
Ge, Houtian; Gray, Richard; Nolan, James - In: International Journal of Production Economics 159 (2015) C, pp. 208-220
With worldwide food security emerging as a major policy issue moving forward, the structure and optimization of key agricultural supply chains is of growing importance. In turn, while many working models of supply chain optimization have been developed to ensure analytic tractability, others are...
Persistent link: https://www.econbiz.de/10011116426
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Supply Chain Simulation : A Survey
Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2003
This paper provides a survey of simulation in supply chain management.It reviews four types of simulation, namely spreadsheet simulation, system dynamics, discreteevent simulation, and business games.Which simulation type should be applied, depends on the type of managerial question to be...
Persistent link: https://www.econbiz.de/10011091311
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Supply chain analytics
Souza, Gilvan C. - In: Business Horizons 57 (2014) 5, pp. 595-605
analytics centers on demand forecasting at strategic, tactical, and operational levels, all of which drive the planning process …
Persistent link: https://www.econbiz.de/10010907061