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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10011112017
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Realized volatility risk
Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011162546
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Modelling and Simulation: An Overview
McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011162548
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10011256696
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011256964
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011257254
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Using VARs and TVP-VARs with Many Macroeconomic Variables
Koop, Gary - Economics Department, University of Strathclyde - 2013
approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise …
Persistent link: https://www.econbiz.de/10010826296
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It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and DCC. It is well known that BEKK...
Persistent link: https://www.econbiz.de/10010731849