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Bond risk premia and the return forecasting factor
(De Gruyter, 2020-02)
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...
The modeling and forecasting of extreme events in electricity spot markets
(ELSEVIER SCIENCE BV, 2014)
A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
(Pontificia Universidad Católica del Perú, 2019)
Forecasting large covariance matrices: comparing autometrics and LASSOVAR
(2019)
This study aims to compare the performance of two well known automatic model selection algorithms, Autometrics (Hendry and Krolzig, 1999; Doornik, 2009), LASSOVAR and adaptive LASSOVAR (Callot et al., 2017) for modelling ...
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
(Escola de Pós-Graduação em Economia da FGV, 2004-06-03)
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Early forecasting of the potential risk zones of COVID-19 in China's megacities
Recently, the coronavirus disease 2019 (COVID-19) has become a worldwide public health threat. Early and quick
identification of the potential risk zones of COVID-19 infection is increasingly vital for the megacities
i ...
Energy risk management through self-exciting marked point process
(ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS, 2013)
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
(2015-02-12)
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...