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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

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

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

Payments systems in the global economy : risks and opportunities ; proceedings, 34th Annual Conference on Bank Structure and Competition

1998

Persistent link: https://www.econbiz.de/10001712135

The effect of school finance reform on population heterogeneity

Aaronson, Daniel - Federal Reserve Bank of Chicago - 1998

This paper tests whether state school finance reform alters neighborhood income homogeneity. One implication of the … jurisdictions to set local tax and expenditure levels. The property tax revolt and the school finance equalization reform of the … that school finance has a significant effect on school district income sorting, especially among low income communities. …

Persistent link: https://www.econbiz.de/10005419876

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 returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and...

Persistent link: https://www.econbiz.de/10005424050