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Full-Text Articles in Insurance

Time Series Analysis: Forecasting Treasury Bill Interest Rates, Nadine P. Innes May 2019

Time Series Analysis: Forecasting Treasury Bill Interest Rates, Nadine P. Innes

Honors College Theses

A Treasury Bill is a short-term investment typically with a maturity date of 12 months or less that is backed by the Treasury Department of the United States government. Rates of return for Treasury Bills are constantly changing over time due to the constant change of demand from borrowers and supply from lenders. This study seeks to forecast treasury bill rates that mature in 3 months. Since actuaries employ their knowledge of mathematics and statistical methods to analyze the likelihood of future events and their possible financial repercussions, having a projection of future treasury bill rates can provide guidance to ...


Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater Jan 2019

Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater

SMU Data Science Review

The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide ...