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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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Intermediate Public Economics
Hindriks, Jean; Myles, Gareth D. - The MIT Press
but in its balance between public finance and public choice and its combination of theory and relevant empirical evidence …
Persistent link: https://www.econbiz.de/10010905536
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Open Economy Macroeconomics in Developing Countries
VŽgh, Carlos A. - The MIT Press
international finance increasingly relies, the book teaches the reader how to think in terms of simple models and grasp the … graduate courses in development economics, international finance, and macroeconomics. …
Persistent link: https://www.econbiz.de/10010905549
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Inside and Outside Liquidity
Holmström, Bengt - The MIT Press
Tirole offer an original, unified perspective on these questions drawing on insights from modern corporate finance. In a … slight, but important departure from the standard theory of finance, they show how imperfect pledgeability of corporate …
Persistent link: https://www.econbiz.de/10010905551
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Banking on Democracy: Financial Markets and Elections in Emerging Countries
Santiso, Javier - The MIT Press
apparent than in emerging markets. In Banking on Democracy, Javier Santiso investigates the links between politics and finance … markets have decoupled politics and finance, in the wake of the 2008Ð2012 financial crisis many developed economies (Europe … and the United States) have experienced a recoupling between finance and politics. …
Persistent link: https://www.econbiz.de/10010905558
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Two equivalence theorems for government finance
Yu, Dahai - Federal Reserve Board (Board of Governors of the … - 1998
This paper studies the effects of a path change in government debt composition and aggregate transfers on allocations and prices. It is shown that the effects are zero under some agent-specific transfer scheme even when markets are incomplete. If markets are complete, then the effects are zero...
Persistent link: https://www.econbiz.de/10005368245
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State government finances: World War II to the current crisis
Garrett, Thomas A.; Wagner, Gary A. - Federal Reserve Bank of St. Louis - 2003
perspective of state finance. Although the current fiscal crisis is severe, it becomes more difficult to assess unless one has a … finance. …
Persistent link: https://www.econbiz.de/10005352845