...Mehdi Mili; Ahmed Bouteska Purpose This paper examines and forecasts correlations between cryptocurrencies and major fiat currencies using Generalized Autoregressive Score (GAS) time-varying copulas. The authors examine to which extent the multivariate GAS method captures the volatility...

... causality from sentiment indicator to the house prices index. Consequently, the sentiment indicator can help to forecast property prices in the UK. Design/methodology/approach By investigating sentiment data for house prices using techniques of time-series econometrics (more specifically the procedure...

... ratings issued by the Big 3 ratings agencies. Forecasting Credit ratings Big three CDS spread Sovereign credit risk Figure 2. Three-year CDS spreads during the testing period We would like to note certain observations regarding the data. There is no data available on Ireland’s CDS...

...Ahmet Göncü Purpose The purpose of this paper is to compare the ability of popular temperature models, namely, the models given by Alaton et al., by Benth and Benth, by Campbell and Diebold and by Brody et al., to forecast the prices of heating/cooling degree days (HDD/CDD...

...Siamak Daneshvaran; Maryam Haji Purpose A reliable forecast of hurricane activity in the Atlantic Basin has the potential to help mitigate the economic losses caused by hurricanes. One of the difficult problems is to make reasonable annual forecast of catastrophe losses based on the short record...

... function leads to significantly lower prices for HDD futures contracts for seasons in which volatility is higher than it is in other months of the year (Benth and Saltyte‐Benth, 2007). © Emerald Group Publishing Limited 2012 China Temperature distribution Forecasting Weather derivatives...

... Group Publishing Limited 2008 As observed in a previous editorial (Powers, 2005), a necessary condition for private insurers and reinsurers to remain in the terrorism‐risk market is the industry's confidence that total losses can be forecast with sufficient accuracy. In the present editorial, I...

...David G. McMillan; Alan E.H. Speight Purpose In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology...

...Elyas Elyasiani; A. Thavaneswaran; Jagbir Singh; Michael R. Powers Purpose The purpose of this paper is to consider the problem of using “black‐box” methods to forecast catastrophe events, and illustrate the value of independent peer review. Design/methodology/approach The problem with black...

... ARMA(p, q) processes with GARCH errors is studied. Forecasting of ARMA(p, q) processes with GARCH errors is also discussed in some detail. Design/methodology/approach Estimating‐function methodology was the principal method used for the research. The results were...

..., and power transformation of conditional variance. Findings Based on back‐testing measures and a loss function evaluation method, finds that the modeling of the main characteristics of asset returns produces the most accurate VaR forecasts. Especially for the high confidence levels, a risk manager must...