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The time-varying volatility of earnings and aggregate precautionary savings
Pozzi, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009720736
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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Bayesian risk forecasting for long horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
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Cyclical consumption
Berger, Tino; Pozzi, Lorenzo - 2023
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...
Persistent link: https://www.econbiz.de/10014380708
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Does economic uncertainty predict real activity in real-time?
Keijsers, Bart; Dijk, Dick van - 2022
We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....
Persistent link: https://www.econbiz.de/10013375365
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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
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 components from a selection of key systemic risk rankings that are recently …
Persistent link: https://www.econbiz.de/10010532581
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …
Persistent link: https://www.econbiz.de/10011299966
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Asymmetric risk impacts of Chinese tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
source of international tourism. In order to understand the risk persistence of Chinese tourists, the paper investigates the …. The mean equations associated with GARCH(1,1), GJR(1,1) and EGARCH(1,1) are used to analyse the risk persistence of the …
Persistent link: https://www.econbiz.de/10011848107
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Forecasting dynamic market share relationships
Terui, Nobuhiko - 1997
Persistent link: https://www.econbiz.de/10000960562