Vector smooth transition regression models for US GDP and the composite index of leading indicators
Article Abstract:
Vector smooth transition regression (VSTR) model can be used to forecast output growth and business-cycle phases. The nonlinear forecasting power of the Conference Board composite index of leading indicators is used to predict the output growth and the business-cycle phases of the U.S economy.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
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Gamma stochastic volatility models
Article Abstract:
A study on changes in 'volatility' of assets and its implications on financial applications, using gamma stochasric volatility models, is presented.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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Selection of value-at-risk models
Article Abstract:
The inadequacy of value-at-risk models to determine asset portfolio market risk measurement is discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2003
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