Titlebook: Mathematical and Statistical Methods for Actuarial Sciences and Finance; MAF 2018 Marco Corazza,María Durbán,Marilena Sibillo Book 2018 Spr

perimenopause

Inference in a Non-Homogeneous Vasicek Type Model,e deterministic time-dependent functions. The stochastic inference based on discrete sampling in time is established using a methodology based on the moments of the stochastic process. In order to evaluate the goodness of the proposed methodology a simulation study is discussed.

HUMP

鄙視讀作

格子架

Combining Multivariate Volatility Models,adaily returns. Examples of the former are the Multivariate GARCH (MGARCH) models while models fitted to Realized Covariance (RC) matrices are examples of the latter. A second option, strictly related to the RC matrices, is given by the identification of the frequency at which the intradaily returns

慌張

Automatic Detection and Imputation of Outliers in Electricity Price Time Series,reme prices. The present study relates to a method for automatically determining and replacing outliers. The core of our method is the construction of a reference time series through the rolling decomposition into trend-cycle and seasonal components of the original time series. Deviations of residua

DEAWL

Bayesian Factorization Machines for Risk Management and Robust Decision Making, the past, can be made with more confidence than others, that correspond to more innovative strategies. Selecting a few relevant features of the predicted probability distribution leads to a . problem, and the Pareto front contains the most interesting media plans. Using expected return and standard

LAIR

謙虛的人

The Bank Tailored Integrated Rating,Mantovani et al., Int Res J Appl Finance IV:458–489, 2013 and Mantovani et al., J Bus Econ Finance 3:18–49, 2014 regarding the heterogeneity risk analysis in corporate firms), named bank tailored integrated rating (BTIR). The approach is inherently coherent with the challenging frontier of forecasti

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