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Patrizio Vanella, Christina Benita Wilke and Doris Söhnlein
Demographic change is leading to the aging of German society. As long as the baby boom cohorts are still of working age, the working population will also age?and decline as soon as this baby boom generation gradually reaches retirement age. At the same t...
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Jules Clément Mba, Sutene Mwambetania Mwambi and Edson Pindza
Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price moveme...
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Marcial Messmer and Francesco Audrino
We investigate whether Lasso-type linear methods are able to improve the predictive accuracy of OLS in selecting relevant firm characteristics for forecasting the future cross-section of stock returns. Through extensive Monte Carlo simulations, we show t...
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Marco Di Francesco and Kevin Kamm
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox?Ingersoll?Ross (CIR) model with a perfect fit to the observed term-structure. We use the diff...
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Katleho Makatjane and Ntebogang Moroke
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alt...
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