Search results for " Stochastic Simulation"

showing 3 items of 3 documents

Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

2009

Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.

Economics and EconometricsFinancial contagionforecasting; dynamic factor; currency crisesFinancial contagionFinancial economicsVulnerabilityforecastingProbitFinancial Contagion Dynamic Factor Model Stochastic SimulationFinancial Contagion Dynamic Factor ModelStochastic simulationEconomicsEast AsiaFinancebusiness.industryjel:C51jel:C32Dynamic Factor modelCurrency crisisjel:F34currency crisesDynamic factorPrincipal component analysisbusinessFinancedynamic factor
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Mapping of penetrometer resistance in relation to tractor traffic using multivariate geostatistics

2007

Abstract The traffic of agricultural machines can cause soil compaction and high variability of soil structure, both along normal lines and along those parallel to the field plane. The aim of this work was to investigate the potential of an electronic penetrometer, a GPS, a GIS and geostatistical techniques for mapping soil compaction. In July 2003 soil cone penetrometer resistance was measured using a semi-automatic electronic penetrometer in a sandy-silt soil (Vertic Xerochrept) of inland Sicily where a three-year rotation wheat ( Triticum durum Desf.)–wheat–tomato ( Solanum lycopersicum L.) was practiced. The measurements were carried out along three parallel 3-m long transects, from the…

TractorHydrologyMultivariate geostatisticbusiness.product_categorySettore AGR/09 - Meccanica AgrariaSoil compaction mappingSoil ScienceSoil scienceGeostatisticsSiltCrop rotationCone penetrometer resistancePenetrometerlaw.inventionSoil structureJoint stochastic simulationlawSoil compactionSoil waterEnvironmental scienceSoil compaction mapping; Cone penetrometer resistance; Multivariate geostatistics; Joint stochastic simulationbusiness
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Forecasting industry sector default rates through dynamic factor models

2008

In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…

Economics and EconometricsDynamic Factor Model Forecasting Stochastic Simulation Risk Management Bankingbusiness.industrycredit riskApplied MathematicsDirect methodforecastingBasel IIcredit risk; dynamic factor; forecasting; risk managementrisk managementModeling and SimulationDynamic factorPrincipal component analysisStochastic simulationEconometricsbusinessProjection (set theory)FinanceRisk managementCredit riskMathematicsdynamic factor
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