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John A Morrison's Blog – February 2012 Archive (11)

Compound scenarios: An efficient framework for integrated market-credit risk : ALGORITHMICS

or HOW ALGORITHMICS DOES IT !!!

Compound scenarios: An efficient framework for integrated market-credit risk


Ben De Prisco, Ian Iscoe, Yijun Jiang, Helmut Mausser

http://www.algorithmics.com/en/media/pdfs/algo-ra0507-arps-compoundscenarios.pdf

Added by John A Morrison on February 24, 2012 at 9:23am — No Comments

Quantifying of Extreme Events

Quantifying of Extreme Events



Vicky Fasen Claudia Kluppelberg Annette Menzel



September 28, 2011

abstract / summary



Understanding and managing risks due extreme events is one of the most demanding topics of our society. We consider this problem as a statistical problem and present some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of an extreme event…

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Added by John A Morrison on February 24, 2012 at 9:10am — No Comments

THE PREDICTIVE POWER OF THE YIELD CURVE ACROSS COUNTRIES AND TIME

Menzie D. Chinn, Kavan J. Kucko



Working Paper 16398

http://www.nber.org/papers/w16398

NATIONAL BUREAU OF ECONOMIC RESEARCH

ABSTRACT



In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as…

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Added by John A Morrison on February 22, 2012 at 1:56am — No Comments

Detecting Economic Events Using a Semantics-Based Pipeline

Detecting Economic Events Using a Semantics-Based Pipeline

http://people.few.eur.nl/fhogenboom/papers/dexa11-speed.pdf

Alexander Hogenboom, Frederik Hogenboom, Flavius Frasincar, Uzay Kaymak, Otto van der Meer, and Kim Schouten

Erasmus University Rotterdam

Abstract.

In today's information-driven global economy, breaking news on economic…

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Added by John A Morrison on February 21, 2012 at 8:10am — No Comments

Irrationality or Efficiency of Macroeconomic Survey Forecasts?

Irrationality or Efficiency of Macroeconomic Survey Forecasts?



Implications from the Anchoring Bias Test



Abstract



We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that they are anchoring biased. This irrationality would challenge the results of a wide range of empirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely on survey data to capture market participants’…

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Added by John A Morrison on February 21, 2012 at 7:00am — No Comments

From Semantic Search & Integration to Analytics

From Semantic Search & Integration to Analytics

Amit Sheth 

LSDIS lab, University of Georgia, 415 Graduate Studies Research Center,

Athens, GA 30602-7404

Semagix Inc., 297 Prince Avenue,

Athens, GA 30601

Abstract.

Semantics is seen as the key ingredient in the next phase of the Web infrastructure as well as the next generation of enterprise content management. Ontology is the centerpiece of the most prevalent semantic technologies…

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Added by John A Morrison on February 21, 2012 at 6:30am — No Comments

Monitoring Financial Stability in a Complex World

Monitoring Financial Stability in a Complex World



Mark D. Flood Allan

Office of Financial Research

I. Mendelowitz

Committee to Establish the Office of Financial Research

William Nichols 

National Institute of Finance



Version 10 / January 19, 2012



Copyright 2012, M. Flood, A. Mendelowitz and W. Nichols

Abstract



We offer a tour d’horizon of the data management issues facing…

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Added by John A Morrison on February 9, 2012 at 10:54pm — No Comments

Lecture Notes in Empirical Finance

Lecture Notes in Empirical Finance (PhD)


Paul Söderlind

3 January 2012

http://home.datacomm.ch/paulsoderlind/Courses/OldCourses/EmpFinPhDAll.pdf

Added by John A Morrison on February 9, 2012 at 1:10am — No Comments

Bayesian Outlier Detection with Dirichlet Process Mixtures

Matthew S. Shotwell and Elizabeth H. Slate

Abstract.

We introduce a Bayesian inference mechanism for outlier detection using the augmented Dirichlet process mixture. Outliers are detected by forming a maximum a posteriori (MAP) estimate of the data partition. Observations that comprise small or singleton clusters in the estimated partition are considered outliers. We offer a novel interpretation of the Dirichlet process precision parameter, and…

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Added by John A Morrison on February 9, 2012 at 12:37am — 1 Comment

Garch Models of Dynamic Volatility and Correlation

GARCH MODELS OF DYNAMIC VOLATILITY AND CORRELATION


David S. Matteson and David Ruppert

(I like this ! )

http://www.stat.cornell.edu/~matteson/papers/GARCH_tutorial.pdf

Added by John A Morrison on February 9, 2012 at 12:30am — No Comments

Monte Carlo Evaluation of Consistency and Normality of Dichotomous Logistic and Multinomial Logistic Regression Models

Naima Shifa & Mamunur Rashid

Abstract



The dichotomous logistic regression model is one of the popular mathematical models for the analysis of binary data with applications in physical, biomedical, and behavioral sciences, among others. The feature of this model is to quantify the effects of several explanatory variables on one dichotomous outcome variable. Multinomial logistic regression model, on the other hand, handles the categorical dependent…

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Added by John A Morrison on February 9, 2012 at 12:00am — No Comments

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