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We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10010532581
filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …
Persistent link: https://www.econbiz.de/10014433826