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.

Usage, Business cycles, Nonlinear functional analysis, Vector spaces, Vectors (Mathematics)

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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.

Forecasts, trends, outlooks, Management dynamics, Analysis, Management, Forecasts and trends, Market trend/market analysis, Financial analysis, Company business management, Volatility

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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.

Commercial Banks, Investment Banking and Securities Dealing, Portfolio Management, India, Portfolio & Funds Management, Measurement, Risk (Economics)

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