Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22017
Abstract: This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market's expectation and is… read more here.
Keywords: panel; estimating predicting; panel quantile; risk ... See more keywords
Estimating and predicting corrections for empirical thermospheric models
Sign Up to like & getrecommendations! Published in 2019 at "Geophysical Journal International"
DOI: 10.1093/gji/ggz163
Abstract: Quantifying spatial and temporal changes in thermospheric neutral density is important for various applications such as precise orbit determination, estimating mission lifetime and re-entry prediction of Earth orbiting objects. It is also crucial for analysis… read more here.
Keywords: predicting corrections; solar geomagnetic; estimating predicting; density ... See more keywords