6 documents matched the search for the 2016-02-29 issue of the NEP report on Operations Research (nep-ore). Documents 1 to 6, page 1 of 1.
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A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? Chia-Lin Chang, Juan Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
Keywords: Stochastic dominance, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord JEL-codes: C22; C53; G11; G17; G32 Created/Revised: 2015-05-01 Added/Modified: 2015-05-23
Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach Mark Bognanni and Edward Herbst
from Board of Governors of the Federal Reserve System (U.S.) (2015)
Keywords: Bayesian Analysis; Regime-Switching Models; Sequential Monte Carlo; Vector Autoregressions JEL-codes: C11; C18; C32; C52; E3; E4; E5 Created/Revised: 2015-12-18 Added/Modified: 2021-01-14
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
from Quantitative Finance Research Centre, University of Technology, Sydney (2015)
Keywords: futures options; stochastic interest rates; stochastic volatility; correlations; long-dated commodity derivatives JEL-codes: C60; G13; Q40 Created/Revised: 2015-12-01 Added/Modified: 2017-12-14
Matrix Box-Cox Models for Multivariate Realized Volatility Roland Weigand
from Bavarian Graduate Program in Economics (BGPE) (2014)
Keywords: realized covariance matrix, dynamic correlation, semiparametric estimation, density forecasting JEL-codes: C14; C32; C51; C53; C58 Created/Revised: 2014-03-01 Added/Modified: 2014-04-18
A Tractable Framework for Analyzing a Class of Nonstationary Markov Models Lilia Maliar, Serguei Maliar, John Taylor and Inna Tsener
from Hoover Institution, Stanford University (2015)
Keywords: nonstationary models, unbalanced growth, time varying transition probabilities, time varying parameters, anticipated shock, shooting method, parameter shift, parameter drift, regime switch, stochastic volatility, capital augmenting, seasonality, Fair and Taylor, extended path, Smolyak method JEL-codes: C61; C63; C68; E31; E52 Created/Revised: 2015-03-01 Added/Modified: 2015-05-19
Documents 1 to 6, page 1 of 1.
6 documents matched the search for the 2016-02-29 issue of the NEP report on Operations Research (nep-ore). Documents 1 to 6, page 1 of 1.
Number of results per page
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