Evaluation of correlation forecasting models for risk management
Article Abstract:
Correlation forecasting techniques are compared using standard statistical and risk management loss functions. GARCH models better explain correlations in stock and bond portfolios, while simpler moving average models suit the currency portfolio better.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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A Bayesian nonlinear support vector machine error correction model
Article Abstract:
A study on effectiveness of using nonlinear support vector correction models within Bayesian framework, based on stationarity and cointegration analysis estimated with least squares regression, for financial time series prediction, is presented.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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Validating multiple-period density-forecasting models
Article Abstract:
The validation of multiple-period density-forecasting models used for long-term forecasting of business performance, based on the density forecasts of economic variables is presented.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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