Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management
نویسندگان
چکیده
منابع مشابه
Efficient Evaluation of Multidimensional Time-Varying Density Forecasts
We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation of the coordinate system. The advantage of the second method is not only its applicability to any cont...
متن کاملTime - varying risk aversion : an application to energy hedging
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...
متن کاملReal-Time Density Forecasts from VARs with
Central banks and other forecasters have become increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility — such as the Great Moderation and the more recent sharp rise in volatility associated with greater variation in energy prices and the deep global recession — pose significant challenges to density forecasting. Accordingly, th...
متن کاملan application of fuzzy logic for car insurance underwriting
در ایران بیمه خودرو سهم بزرگی در صنعت بیمه دارد. تعیین حق بیمه مناسب و عادلانه نیازمند طبقه بندی خریداران بیمه نامه براساس خطرات احتمالی آنها است. عوامل ریسکی فراوانی می تواند بر این قیمت گذاری تاثیر بگذارد. طبقه بندی و تعیین میزان تاثیر گذاری هر عامل ریسکی بر قیمت گذاری بیمه خودرو پیچیدگی خاصی دارد. در این پایان نامه سعی در ارائه راهی جدید برای طبقه بندی عوامل ریسکی با استفاده از اصول و روش ها...
Sub-optimal Estimation of HIV Time-delay Model using State-Dependent Impulsive Observer with Time-varying Impulse Interval: Application to Continuous-time and Impulsive Inputs
Human Immunodeficiency Virus (HIV) weakens the immune system in confronting various diseases by attacking to CD4+T cells. In modeling HIV behavior, the number of CD4+T cells is considered as the output. But, continuous-time measurement of these cells is not possible in practice, and the measurement is only available at variable intervals that are several times bigger than sampling time. In this...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1672685