Similar Search Results

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10005137234

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - Tinbergen Institute - 2012

We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have not been studied earlier in the literature. In...

Persistent link: https://www.econbiz.de/10009653053

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute

to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the … practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …

Persistent link: https://www.econbiz.de/10005016261

Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...

Persistent link: https://www.econbiz.de/10009322510

Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

Banachewicz, Konrad; Lucas, André - Tinbergen Institute - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10005136969

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Institute - 2005

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10005137077

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Institute - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10005137081

Finite-State Markov Chains obey Benford's Law

Kaynar, Bahar; Berger, Arno; Hill, Theodore P.; Ridder, Ad - Tinbergen Institute - 2010

A sequence of real numbers (xn) is Benford if the significands, i.e. the fraction

Persistent link: https://www.econbiz.de/10008838552

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10005144392

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Institute - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10005144435