Showing 1 - 10 of 514
use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …
Persistent link: https://www.econbiz.de/10002523934
Persistent link: https://www.econbiz.de/10003641741
We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …
Persistent link: https://www.econbiz.de/10014336426
degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
worth, the evaporation of liquidity and rising risk premia are the key channels through which geopolitical uncertainty …
Persistent link: https://www.econbiz.de/10015065292
In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators …
Persistent link: https://www.econbiz.de/10011587888
risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …
Persistent link: https://www.econbiz.de/10011587953
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the …
Persistent link: https://www.econbiz.de/10011420698
This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...
Persistent link: https://www.econbiz.de/10012158166
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736