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Author: Peter Rodenburg
Publisher:
ISBN: 9789051707687
Category : Unemployment
Languages : en
Pages : 181
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Book Description
Author: Peter Rodenburg
Publisher:
ISBN: 9789051707687
Category : Unemployment
Languages : en
Pages : 181
Get Book Here
Book Description
Author: Peter Rodenburg
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Author: Gijs van de Kuilen
Publisher: Rozenberg Publishers
ISBN: 905170951X
Category :
Languages : en
Pages : 164
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Author: David Frederik Schrager
Publisher: Rozenberg Publishers
ISBN: 9051709455
Category :
Languages : en
Pages : 195
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Author: Michiel de Pooter
Publisher: Rozenberg Publishers
ISBN: 9051709153
Category :
Languages : en
Pages : 286
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Book Description
This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Author: Dennis Petrus Johannes Botman
Publisher: Rozenberg Publishers
ISBN: 9051708343
Category :
Languages : en
Pages : 180
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Book Description
Author: Luca Fiorito
Publisher: Emerald Group Publishing
ISBN: 1787564231
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
Volume 36B of Research in the History of Economic Thought and Methodology features a symposium reflecting on the significance of Mary Morgan's contributions to the history and philosophy of economics.
Author: Sebastian Buhai
Publisher: Rozenberg Publishers
ISBN: 9051709218
Category :
Languages : en
Pages : 198
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Author: Francesco Ravazzolo
Publisher: Rozenberg Publishers
ISBN: 9051709145
Category :
Languages : en
Pages : 198
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Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Author: Guido Baltussen
Publisher: Rozenberg Publishers
ISBN: 905170920X
Category :
Languages : en
Pages : 253
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