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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/317968
Description: Continuing rapid changes in the level and pattern of mortality require that forecasts are available that are timely, relevant and reliable. This paper evaluates a previous forecast of the mortality an ... More
Reviewed: Reviewed
Authors: Trück, Stefan
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/77578
Description: Migration matrices are considered a major determinant for credit risk management. They are widely used for credit value-at-risk determination, portfolio management or derivative pricing. It is well kn ... More
Reviewed: Reviewed
Authors: Booth, H | Tickle, L
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/75845
Description: Continuing increases in life expectancy beyond previously-held limits have brought to the fore the critical importance of mortality forecasting. Significant developments in mortality forecasting since ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/25337
Description: A new method for analysing and projecting mortality is proposed and examined. The method takes observed time series of survival probabilities, finds the corresponding z-scores in the standard normal d ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/75085
Description: Volatilities and correlations for equity markets rise more after negative returns shocks than after positive shocks. Allowing for these asymmetries in covariance forecasts decreases mean-variance port ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/6558
Description: The Lee-Carter method for mortality forecasting is outlined, discussed and improved utilizing standard time series approaches. The new framework, which integrates estimation and forecasting, delivers ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/13458
Description: We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 1–1.5% at daily, ... More
Reviewed: Reviewed
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