Essays about: "quadratic probability score"

Found 2 essays containing the words quadratic probability score.

  1. 1. PREDICITING BULL AND BEAR IN S&P500

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dodou Saidy; Arash Saleh Tabari; [2017]
    Keywords : Factors; Stock indices; Stock Markets; Probability; Dynamic Static Probit; Business and Economics;

    Abstract : This paper seeks to investigate if factors extracted from macroeconomic and financial variables can improve the forecast accuracy of the bull and bear market in the S&P500 stock index. The study extended the models constructed by Nyberg(2012) and Chen (2009) by augmenting their model with factors. READ MORE

  3. 2. Measuring Portfolio Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chao Xu; Huigeng Chen; [2012]
    Keywords : Multivariate Value at Risk; portfolio risk measures; Copula; Monte Carlo simulation; DCC-GARCH; multivariate EWMA; Christoffersen test; quadratic probability score; root mean squared error; R software.; Business and Economics;

    Abstract : On estimating portfolio Value at Risk, the application of traditional univariate VaR models is limited. Under specific circumstance, the VaR estimation could be inadequate. Facing the financial crises and increasing uncertainty in financial markets, effective multivariate VaR models have become crucial. READ MORE