the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

their location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in … forecast horizon. In addition, relative to the proposed benchmarks, we report evidence of some improvement in the performance … individual density forecast performance. …

variants are assessed as regards the stability of the weighting schemes and the ability to forecast the “true” inventory …

strategies. First, we show that the tangency portfolios fully diversify the risk associated with the factor component of asset …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject the hypothesis that …

risk factors are correlated with each other and the degree of dependence individual firms have to the different types of … risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we … propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …