Results 61 to 70 of about 7,868 (207)

Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates

Risks, 2017
This work proposes a backtesting analysis that compares the Lee–Carter and the Cairns–Blake–Dowd mortality models, employing Italian data. The mortality data come from the Italian National Statistics Institute (ISTAT) database and span the period 1975 ...
Carlo Maccheroni, Samuel Nocito
doaj   +1 more source

Data Driven Investment Strategies Using Bayesian Inference in Regime‐Switching Models

Applied Stochastic Models in Business and Industry, Volume 41, Issue 6, November/December 2025.
ABSTRACT This article presents the benefits of using Bayesian algorithms to fit regime‐switching models to daily financial returns data in order to design trading strategies. Our study focuses on a Gaussian hidden Markov model (HMM). We show how the application of a simple smoothing technique preserves the hidden Markov structure and facilitates regime
Eléonore Blanchard, Pierre‐Olivier Goffard   +1 more
wiley   +1 more source

Evaluation of VaR Estimates based on ARCH type Models [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2011
This paper studies four ARCH type models including ARCH, GARCH, EGARCH and TGARCH at Value at Risk (VaR) estimation. The four models were applied to daily Tehran stock market data to assess each model in estimating one day Value at Risk at various ...
Naser Khiabani, Maryam Sarooghi
doaj  

A Low Price Correction for Improved Volatility Estimation and Forecasting

Risks, 2017
In this work, we focus on volatility estimation which plays a crucial role in risk analysis and management. In order to improve value at risk (VaR) forecasts, we discuss the concept of low price effect and introduce the low price correction which does ...
George-Jason Siouris, Alex Karagrigoriou
doaj   +1 more source

Dynamic asset (and liability) management under market and credit risk [PDF]

, 2003
We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets.
Jobst, NJ, Mitra, G, Zenios, SA
core  

Trading Games: Beating Passive Strategies in the Bullish Crypto Market

Journal of Futures Markets, Volume 45, Issue 11, Page 1911-1933, November 2025.
ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from ...
Rafael Baptista Palazzi
wiley   +1 more source

Forecasting Wind–Photovoltaic Energy Production and Income with Traditional and ML Techniques

Econometrics
Hybrid production plants harness diverse climatic sources for electricity generation, playing a crucial role in the transition to renewable energies. This study aims to forecast the profitability of a combined wind–photovoltaic energy system.
Giovanni Masala, Amelie Schischke
doaj   +1 more source

"It Pays to Violate: How Effective are the Basel Accord Penalties?" [PDF]

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in
Bernardo da Veiga, Felix Chan, Michael McAleer   +2 more
core   +6 more sources

The end of the waterfall: Default resources of central counterparties [PDF]

, 2015
Central counterparties (CCPs) have become pillars of the new global financial architecture following the financial crisis of 2008. The key role of CCPs in mitigating counterparty risk and contagion has in turn cast them as systemically important ...
Cont, R
core   +3 more sources

Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting

Journal of Time Series Analysis, Volume 46, Issue 6, Page 1098-1124, November 2025.
This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques, Siem Jan Koopman, Karim Moussa   +2 more
wiley   +1 more source