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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. ...
Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
(Blackwell Publishers Ltd, 2002)
Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...
The second law of systems
(Taylor & Francis, 1977)
This paper asserts that the Second Law of Thermodynamics (SLT) despite holding truc in ail laboratory tests heretofore conducted, cannot, by itself, explain the hierarchical universe. By examination of the existing evidence, ...
An innovative cost – benefit analysis as a decision support system for the evaluation of alternative scenarios of water resources management
(Parlar Scientifc, 2003)
A crucial problem for planners dealing with the management of water resources is to choose among the available alternative scenarios. In the presented methodology the result is a combination of the data of all the important ...
Education Efficiency and Labor Market Achievements: An Evaluation for Twenty OECD Countries
(Elsevier, 2006)
The paper uses data envelopment analysis (DEA-CCR model) to evaluate the tertiary-level educational system mechanism, relating a set of inputs to some outputs, in particular, income and employment. The analysis concerns ...
Communication, a managerial myth
(1978-08)
Comunication is onc of the most widely used and least understood concepts current among managerof modern corporations.