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MULTIVARIATE VOLATILITY FORECASTS FOR STOCK MARKET INDICES

[ARTICLE] This study forecasts realized variance for major international stock market indices, incorporating jump, continuous, and option-implied variance components, using multivariate HAR-type models. by Jeroen Rombouts (ESSEC Business School), Ines Wilms, Christophe Croux Volatility forecasts aim to measure future risk and they are key ...

DYNAMICS OF VARIANCE RISK PREMIA: A NEW MODEL FOR DISENTANGLING THE PRICE OF RISK

[ARTICLE] This paper presents a dynamic model for the variance risk premium that separates the continuous component from jump impacts, using a regime switching structure to analyze S&P500 data and explain return predictability driven by normal price fluctuations versus tail ...

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Technology related risks

PROBABILISTIC FORECASTING OF BUBBLES AND FLASH CRASHES

[ARTICLE] This paper proposes a near explosive random coefficient autoregressive model (NERC) to predict probabilities of bubbles and crashes in ...

DATA-CLONING SMC2: A GLOBAL OPTIMIZER FOR MAXIMUM LIKELIHOOD ESTIMATION OF LATENT VARIABLE MODELS

[ARTICLE] This paper proposes a data-cloning SMC2 algorithm for maximum likelihood estimation of models with latent variables, offering broad applicability ...

FROM DATA TO CAUSES II: COMPARING APPROACHES TO PANEL DATA ANALYSIS

[ARTICLE] This article compares various panel data methods, highlighting the benefits of the general cross-lagged model (GCLM) over static models ...

FROM DATA TO CAUSES I: BUILDING A GENERAL CROSS-LAGGED PANEL MODEL (GCLM)

[ARTICLE] This paper introduces a general cross-lagged panel model (GCLM) for causal inference with longitudinal panel data within a structural ...

THE USE OF PROTOTYPES TO BRIDGE KNOWLEDGE BOUNDARIES IN AGILE SOFTWARE DEVELOPMENT

[ARTICLE] This paper explores how software prototypes function as boundary objects in agile development, identifying four effective prototype use practices ...

DYNAMIC TRAVELING SALESMAN PROBLEM WITH STOCHASTIC RELEASE DATES

[ARTICLE] This paper addresses the Dynamic Traveling Salesman Problem with Stochastic Release Dates (DTSP-srd), proposing a Markov Decision Process and ...

A BRANCH-AND-CUT ALGORITHM FOR THE INVENTORY ROUTING PROBLEM WITH PICKUPS AND DELIVERIES

[ARTICLE] This paper introduces a mixed integer linear programming model for the Inventory Routing Problem with Pickups and Deliveries (IRP-PD), ...

ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS

[ARTICLE] This paper presents a robust inference method for structural vector autoregressions with near unit roots by combining the Anderson-Rubin ...

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