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Forecasts in a Slightly Misspecified Finite Order VAR

Müller, Ulrich K. - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10012461943

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

Persistent link: https://www.econbiz.de/10012470566

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012467618

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2000

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012471074

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

A Sharper Ratio : A General Measure for Correctly Ranking Non-Normal Investment Risks

Smetters, Kent - 2013

While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition,...

Persistent link: https://www.econbiz.de/10012459163

Bank Trading Risk and Systemic Risk

Jorion, Philippe - 2005

post-1998 period has witnessed an increase in volatility of trading revenues …

Persistent link: https://www.econbiz.de/10012467650

Governance, Risk Management, and Risk-Taking in Banks

Stulz, René M. - 2014

This paper examines how governance and risk management affect risk-taking in banks. It distinguishes between good risks, which are risks that have an ex ante private reward for the bank on a stand-alone basis, and bad risks, which do not have such a reward. A well-governed bank takes the amount...

Persistent link: https://www.econbiz.de/10011955539

Financial Risk Measurement for Financial Risk Management

Andersen, Torben G. - 2012

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10012460575

The Value of Risk : Measuring the Service Output of U.S. Commercial Banks

Basu, Susanto - 2008

Rather than charging direct fees, banks often charge implicitly for their services via interest spreads. As a result, much of bank output has to be estimated indirectly. In contrast to current statistical practice, dynamic optimizing models of banks argue that compensation for bearing systematic...

Persistent link: https://www.econbiz.de/10012464032

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