Results 61 to 70 of about 4,544 (205)
Backtesting Quantum Computing Algorithms for Portfolio Optimization
IEEE Transactions on Quantum EngineeringIn portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets.
Gines Carrascal +3 more
doaj +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
Wind Energy, Volume 29, Issue 8, August 2026.ABSTRACT Accurate, time‐resolved installed capacity data are crucial for forecasting and analysing wind‐power production. The time series of installed capacity is often only approximately known in regions with rapid wind power development. Public wind power databases may only be updated yearly and installation dates may not be differentiated within ...
Olle Viotti, Johan Arnqvist, Jon Olauson
wiley +1 more source
Forecasting Wind–Photovoltaic Energy Production and Income with Traditional and ML Techniques
EconometricsHybrid 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
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
Country Default Probabilities: Assessing and Backtesting [PDF]
, 2006 We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries.
Vogl, Konstantin +3 more
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Pricing and hedging renewable power purchase agreement floors under stochastic generation
Energy Conversion and Economics, Volume 7, Issue 4, Page 312-323, August 2026.Abstract Renewable power purchase agreements (PPAs) expose generators and offtakers to capture‐price risk because realised revenue depends on prices during renewable production hours. Downside protection written on the production‐weighted settlement price is economically relevant, but difficult to mark and hedge because the index is non‐tradable and ...
Ezio Lauro, Helyette Geman
wiley +1 more source
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
Engineering Reports, Volume 8, Issue 6, June 2026.This study introduces a rigorous, walk‐forward protocol to evaluate next‐day return and volatility‐proxy forecasting across matched model families. By enforcing fold‐isolated preprocessing and causal feature construction on US mega‐caps, the study eLectively mitigates performance inflation.
Abdul Kadar Muhammad Masum +5 more
wiley +1 more source
The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures [PDF]
Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction.
Joanna Górka
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