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Learning, structural instability and present value calculations
Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006
Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...
Persistent link: https://www.econbiz.de/10010295816
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Exploring the international linkages of the euro area : a global VAR analysis
Dees, Stephane; di Mauro, Filippo; Pesaran, Mohammad Hashem - 2005
VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important … the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …
Persistent link: https://www.econbiz.de/10010276161
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10010276169
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Learning, structural instability and present value calculations
Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006
Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...
Persistent link: https://www.econbiz.de/10010276173
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets. …
Persistent link: https://www.econbiz.de/10010276212
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Variable selection and inference for multi-period forecasting problems
Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10010276226
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets. …
Persistent link: https://www.econbiz.de/10010276254