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Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
Cakmakli, Cem; Dijk, Dick van - Tinbergen Instituut - 2010
predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …
Persistent link: https://www.econbiz.de/10011256330
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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Tinbergen Instituut - 2013
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10011256460
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GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - Tinbergen Instituut - 2013
See the publication in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 94(C), pages 223-237.<P> In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme...</p></i>
Persistent link: https://www.econbiz.de/10011256711
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Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Instituut
See the publication in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 250-265.<P> The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the...</p></i>
Persistent link: https://www.econbiz.de/10011256748
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Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Instituut - 2009
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10011256933
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011255640
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The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Instituut - 2005
semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for …
Persistent link: https://www.econbiz.de/10011255831
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10011255481
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Model-based Measurement of Actual Volatility in High-Frequency Data
Jungbacker, B.; Koopman, S.J. - Tinbergen Instituut - 2005
In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …
Persistent link: https://www.econbiz.de/10011255617
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper led to a publication in the 'Journal of Econometrics', 2011, 163, 215-230.<P> We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the...</p>
Persistent link: https://www.econbiz.de/10011255794