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The forward discount anomaly and the risk premium: A survey of recent evidence

by Charles Engel - JOURNAL OF EMPIRICAL FINANCE , 1996
"... Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward ..."
Abstract - Cited by 394 (11 self) - Add to MetaCart
to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk

ARIMA DEMAND FORECASTING BY AGGREGATION

by Présentée À, Soutenue Le Décembre, Re Dolgui Professeur, Ecole Mines, Jean-paul Bourrieres Professeur, Université Bordeaux Examinateur, Aris Syntetos Professeur, Royaume-uni Invité, Yves Ducq Professeur, Université Bordeaux Directeur De Thése
"... er sio n 1 ..."
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er sio n 1

MCMC simulation of GARCH model to forecast network traffic load

by Dr. Akhter, Raza Syed, Hussain Saleem, Habib-ur-rehman Syed
"... The performance of a computer network can be enhanced by increasing number of servers, upgrading the hardware, and gaining additional bandwidth but this solution require the huge amount to invest. In contrast to increasing the bandwidth and hardware resources, network traffic modeling play a signifi ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
significant role in enhancing the network performance. As the emphasis of telecommunication service providers shifted towards the high-speed networks providing integrated services at a prescribed Quality of Service (QoS), the role of accurate traffic models in network design and network simulation becomes

Elements of Forecasting

by Francis X. Diebold
"... Most good texts arise from the desire to leave one's stamp on a discipline by training future generations of students, coupled with the recognition that existing texts are inadequate in various respects. My motivation is no different. There is a real need for a concise and modern introductory f ..."
Abstract - Cited by 85 (4 self) - Add to MetaCart
forecasting text. A number of features distinguish this book. First, although it uses only elementary mathematics, it conveys a strong feel for the important advances made since the work of Box and Jenkins more than thirty years ago. In addition to standard models of trend, seasonality, and cycles, it touches

2003), Forecasting volatility in financial markets: a review

by Ser-huang Poon, Clive W. J. Granger - Journal of Economic Literature
"... task in financial markets, and it has held the attention of academics and practitioners over the last two decades. At the time of ..."
Abstract - Cited by 145 (0 self) - Add to MetaCart
task in financial markets, and it has held the attention of academics and practitioners over the last two decades. At the time of

On Forecasting

by unknown authors
"... nd International Symposium ..."
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nd International Symposium

On Forecasting

by unknown authors
"... ..."
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Forecasting

by Nassim Nicholas Taleb, Of Contents, The Risk, Externalities Too, Big To Fail, Physica A
"... ..."
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Energy conservation in wireless sensor networks: A survey

by Giuseppe Anastasi, Marco Conti, Mario Di Francesco, Andrea Passarella
"... In the last years, wireless sensor networks (WSNs) have gained increasing attention from both the research community and actual users. As sensor nodes are generally battery-powered devices, the critical aspects to face concern how to reduce the energy consumption of nodes, so that the network lifeti ..."
Abstract - Cited by 211 (10 self) - Add to MetaCart
In the last years, wireless sensor networks (WSNs) have gained increasing attention from both the research community and actual users. As sensor nodes are generally battery-powered devices, the critical aspects to face concern how to reduce the energy consumption of nodes, so that the network lifetime can be extended to reasonable times. In this paper we first break down the energy consumption for the components of a typical sensor node, and discuss the main directions to energy conservation in WSNs. Then, we present a systematic and comprehensive taxonomy of the energy conservation schemes, which are subsequently discussed in depth. Special attention has been devoted to promising solutions which have not yet obtained a wide attention in the literature, such as techniques for energy efficient data acquisition. Finally we conclude the paper with insights for research directions about energy conservation in WSNs.

European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads

by Jel C , 2003
"... Asset-backed securitisation (ABS) is an asset funding technique that involves the issuance of structured claims on the cash flow performance of a designated pool of underlying receivables. Efficient risk management and asset allocation in this growing segment of fixed income markets requires both in ..."
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investors and issuers to thoroughly understand the longitudinal properties of spread prices. We present a multi-factor GARCH process in order to model the heteroskedasticity of secondary market spreads for valuation and forecasting purposes. In particular, accounting for the variance of errors
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