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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically,...
Persistent link: https://www.econbiz.de/10005197991
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"An Alternative View of Finance, Saving, Deficits, and Liquidity"
Wray, L. Randall - Levy Economics Institute - 2009
This paper contrasts the orthodox approach with an alternative view on finance, saving, deficits, and liquidity. The … deficit that supplies the net dollar saving to the nongovernment sector. Further, saving is never a source of finance; rather …, private lending creates bank deposits to finance spending that generates income. Some of this income can be saved, so the …
Persistent link: https://www.econbiz.de/10008531421
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On risk prediction
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the...
Persistent link: https://www.econbiz.de/10005012478
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Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices
Brännäs, Kurt; Soultanaeva, Albina - Institutionen för Nationalekonomi, Umeå Universitet - 2006
The impact of news of the Moscow and New York stock market exchanges on the <p> returns and volatilities of the Baltic state stock market indices is studied using daily <p> return data for the period of 2000-2005. A nonlinear time series model that accounts <p> for asymmetries in the conditional mean and...</p></p></p>
Persistent link: https://www.econbiz.de/10005424050
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TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA
Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>
Persistent link: https://www.econbiz.de/10005651931
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Discretized Time and Conditional Duration Modelling for Stock Transaction Data
Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003
The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....
Persistent link: https://www.econbiz.de/10005651936