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Full-Text Articles in Physical Sciences and Mathematics
Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark
Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk per …
Feasibility Of Multi-Year Forecast For The Colorado River Water Supply: Time Series Modeling, Brian Plucinski
Feasibility Of Multi-Year Forecast For The Colorado River Water Supply: Time Series Modeling, Brian Plucinski
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The Colorado River is one of the largest resources for water in the United States, as well as being an important asset to the economy. Previous studies have shown a connection between the Great Salt Lake and the Colorado River. This study used time series analysis to build models to predict the water supply of the Colorado River ten years out. These models used data from the Colorado River in addition to Great Salt Lake water elevation. Several models suggest a decline in water supply from 2013 – 2020, before starting to increase. These predictions differ from predictions published by …