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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
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New Extreme-Value Dependence Measures and Finance Applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - C.E.P.R. Discussion Papers - 2001
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the...
Persistent link: https://www.econbiz.de/10005788871
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Modelling Scale-Consistent VaR with the Truncated Lévy Flight
Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2001
model with time varying scale parameter (GARCH process) with error terms that are truncated Lévy distributed. We determine … the appropriate GARCH specification for each data set by conducting a specification test based on a generalization of the … augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …
Persistent link: https://www.econbiz.de/10005792337
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Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Kollmann, Robert - C.E.P.R. Discussion Papers - 2013
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...
Persistent link: https://www.econbiz.de/10011084304
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How Prediction Markets Can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...
Persistent link: https://www.econbiz.de/10009003379
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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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Sources of Risk in Currency Returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012
We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...
Persistent link: https://www.econbiz.de/10011083487
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The Missing Transfers: Estimating Mis-reporting in Dyadic Data
Comola, Margherita; Fafchamps, Marcel - C.E.P.R. Discussion Papers - 2015
Many studies have used self-reported dyadic data without exploiting the pattern of discordant answers. In this paper we propose a maximum likelihood estimator that deals with mis-reporting in a systematic way. We illustrate the methodology using dyadic data on inter-household transfers from the...
Persistent link: https://www.econbiz.de/10011272706
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A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10008466351
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Two Views of Inequality Over the Life-Cycle
Heathcote, Jonathan; Storesletten, Kjetil; Violante, … - C.E.P.R. Discussion Papers - 2004
Data on the life-cycle profiles of inequality in wages, earnings, hours worked and consumption contains precious information for answering questions about the ability of households to insure labor market risk and about the sources of this risk. This Paper demonstrates that the choice of whether...
Persistent link: https://www.econbiz.de/10005662083