1,721,231 research outputs found
Frontiers in VaR forecasting and backtesting
Get PDFThe interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.Financial support from Project ECO2012-32401 by the Spanish Government is gratefully acknowledged by the second author. We are also grateful to the Editor Rob Hyndman for his support and to three anonymous reviewers for their detailed and constructive comments
The uncertainty of conditional returns, volatilities and correlations in DCC models
Get PDFPoint forecasts can be obtained at each moment of time when forecasting conditional correlations that evolve according to a Dynamic Conditional Correlation (DCC) model. However, measuring the uncertainty associated with these forecasts is of interest in many situations. The finite sample properties of a bootstrap procedure for approximating the forecast densities of future returns, volatilities and correlations, are analyzed using simulated data and illustrated by obtaining conditional forecast intervals and regions in the context of a three-dimensional system of daily exchange rate returns.Both authors acknowledge financial support from the Spanish Government project ECO2012-32401
MGARCH models: tradeoff between feasibility and flexibility
Get PDFThe parameters of popular multivariate GARCH (MGARCH) models are restricted so that their estimation is feasible in large systems and covariance stationarity and positive definiteness of conditional covariance matrices are guaranteed. These restrictions limit the dynamics that the models can represent, assuming, for example, that volatilities evolve in an univariate fashion, not being related neither among them nor with the correlations. This paper updates previous surveyson parametric MGARCH models focusing on their limitations to represent the dynamics observed in real systems of financial returns. The conclusions are illustrated using simulated data and a five-dimensional system of exchange rate returns.The first author was supported by grants of 0969/13-3 CAPES, Coordination
of Improvement of Higher Education Personnel. The second author acknowledges financial support
from CAPES, grant 10600/13-2, São Paulo Research Foundation (FAPESP), grant 2013/00506-1,
and Laboratory EPIFISMA. Financial support from ECO2012-32401 project by the Spanish
Government is gratefully acknowledged by the third author
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Evaluating significant effects from alternative seeding systems : a Bayesian approach, with an application to the UEFA Champions League
Get PDFThe paper discusses how to evaluate alternative seeding systems in sports competitions. Prior papers have developed an approach which uses a forecasting model at the level of the individual match and then applies Monte Carlo simulation of the whole tournament to estimate the probabilities associated with various outcomes or combinations of outcomes. This allows, for example, a measure of outcome uncertainty to be attached to each proposed seeding regime. However, this established approach takes no note of the uncertainty surrounding the parameter estimates in the underlying match forecasting model and this precludes testing for statistically significant differences between probabilities or outcome uncertainty measures under alternative regimes. We propose a Bayesian approach which resolves this weakness in standard methodology and illustrate its potential by examining the effect of seeding rule changes implemented in the UEFA Champions League, a major football tournament, in 2015. The reform appears to have increased outcome uncertainty. We identify which clubs and which sorts of clubs were favourably or unfavourably affected by the reform, distinguishing effects on probabilities of progression to different phases of the competition.The fourth author acknowledge financial support from the Spanish Ministry of Education and Science, research project ECO2012-32401
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