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A Dynamical Model for Forecasting Operational Losses
Operational Risk Dynamical Systems Value at Risk
2010/10/21
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions a...
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
Yield curve terms tructure of interest rates forecasting large data set factor models
2011/4/1
This paper addresses the issue of forecasting the term structure.We provide a unified state-space modeling framework that encompasses different existing discrete-time yield curve models.
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...