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Now showing items 11-20 of 615
What can we learn from corporate failure?
(Elsevier, 1991)
Failure is a natural process, observed in both biological and organizational systems. In this article different types of failure are illustrated and the most common factors that contribute to failure described. Delaying ...
Forecasting, Planning, and Strategies for the 21st Century
(Free Press, 1990)
Products ranging from Fifth Generation computers and sophisticated robotics to inexpensive, superfast wireless communications and smart cars will become widespread by the 21st century. At the same time, now unimagined new ...
GARCH models in Risk Management. MEASURING VOLATILITY
(Butterworth Heinemann, 2000-02)
Abstract The objective of this chapter is to examine the ARCH family of volatility models and its use in risk analysis and measurement. An overview of unconditional and conditional volatility models is provided. The former ...
The Forthcoming Information Revolution: Its Impact on Society and Firms
(Elsevier, 1995)
The impact of the industrial revolutions on all aspects of our society, work and life has, undoubtedly, been substantial. Will all the talk about the information revolution produce similar, far-reaching changes? By examining ...
Filtering Historical Simulation. Backtest Analysis
(2000)
This paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second ...
A Market Risk Model for Asymmetric Distributed Series of Return
(2012)
In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...
Time-Series Analysis and Forecasting: An Update and Evaluation
(International Statistical Institute (ISI), 1978-12)
Forecasting has clearly become a field in its own right; its growth and change continue at a rather fast pace, as the number of published books and papers on the topic increases and as more experience about forecasting ...
Taxation and Bank Efficiency: Cross-Country Evidence
(Taylor & Francis, Ltd., 2013)
This paper investigates the relationship between the effective tax rate on bank income and bank profit efficiency. Our sample consists of 3,472 observations from 533 publicly quoted commercial banks operating in 46 countries ...
VaR Without Correlations for Portfolios of Derivative Securities
(Wiley Online Library, 1999)
We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. ...
Forecasting: Methods and Applications
(John Wiley & Sons, Inc., 1998)
Known from its last editions as the "Bible of Forecasting", the third edition of this authoritative text has adopted a new approach-one that is as new as the latest trends in the field: "Explaining the past is not adequate ...