Selection of the optimal Box–Cox transformation parameter for modelling and forecasting age-specific fertility
In: Journal of population research, Band 32, Heft 1, S. 69-79
ISSN: 1835-9469
15 Ergebnisse
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In: Journal of population research, Band 32, Heft 1, S. 69-79
ISSN: 1835-9469
In: Advances in statistical analysis: AStA, Band 98, Heft 2, S. 121-142
ISSN: 1863-818X
In: Demographic Research, Band 27, S. 593-644
ISSN: 1435-9871
In: Journal of population research, Band 29, Heft 3, S. 249-267
ISSN: 1835-9469
In: International journal of forecasting, Band 39, Heft 3, S. 1055-1056
ISSN: 0169-2070
In: International journal of forecasting, Band 38, Heft 3, S. 1025-1049
ISSN: 0169-2070
In: Journal of population research, Band 39, Heft 4, S. 557-565
ISSN: 1835-9469
In: Journal of population research, Band 38, Heft 1, S. 1-24
ISSN: 1835-9469
In: European Financial Management, Band 26, Heft 1, S. 238-257
SSRN
In: Journal of Time Series Analysis, Band 38, Heft 4, S. 591-609
SSRN
In: International journal of forecasting, Band 40, Heft 2, S. 532-548
ISSN: 0169-2070
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce 1-dayahead forecasts of these curves. The proposed method facilitates the investigation of dynamic changes in the index over very short time intervals as showcased using the 15-s high-frequency VIX index values. With the help of dynamic updating techniques, our point and interval forecasts are shown to enjoy improved accuracy over conventional time series models. ; The first author acknowledges a faculty research grant from the College of Business and Economics at the Australian National University. The second author would like to acknowledge financial support from the Australian Government Research Training Program Stipend Scholarship.
BASE
In: Asia-Pacific journal of risk and insurance: APJRI, Band 18, Heft 1, S. 87-114
ISSN: 2153-3792
Abstract
Understanding climate-related risks and stresses is an emerging area of interest for life insurers globally. However, there are complexities in quantifying climate risk stress impacts due to the long-term nature of these risks, and the interactions between physical and transition risks over time. In this paper, we build on understanding the financial impacts of climate risk stresses for life insurers in Australia, by identifying key climate-related mortality risks, and quantifying these by applying short- and long-term stresses from existing literature to two synthetic life insurers. We perform sensitivity tests to demonstrate the variability and range of plausible results. Overall, results show that the expected financial impacts from short-term events in isolation are small relative to expected long-term changes in mortality. Furthermore, the value of a mortality hedge is even more apparent given the increased mortality risk for yearly renewable-term insurers in the short to medium term.
In: International journal of forecasting, Band 35, Heft 4, S. 1304-1317
ISSN: 0169-2070
In: International journal of forecasting, Band 32, Heft 3, S. 629-649
ISSN: 0169-2070