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Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503

Aggregation bias in elasticities of substitution and the minimum wage paradox

Teulings, Coen N. - 1998

largely due to a bias induced by the aggregation of skill types into broad categories. An assignment model is applied where …

Persistent link: https://www.econbiz.de/10011299960

Spatial economic-hydroecological modelling and evaluation of land use impacts in the Vecht wetlands area

Bergh, Jeroen C. J. M. van den; Barendregt, A.; … - 2000

Wetlands provide many important goods and services to human societies, and generate nonuse values as well. Wetlands are also very sensitive ecosystems that are subject to much stress from human activities. Reducing the stress on wetlands requires a spatial matching between physical planning,...

Persistent link: https://www.econbiz.de/10011302605

25 years of IIF time series forecasting : a selective review

Gooijer, Jan G. de; Hyndman, Rob J. - 2005

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers_new published in these...

Persistent link: https://www.econbiz.de/10011346491

Forecasting aggregate productivity using information from firm-level data

Bartelsman, Eric J.; Wolf, Zoltán - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10011378362

Are entrepreneurs' forecasts of economic indicators biased? : A case study of predicted and realized investments in the Netherlands

Gorter, Cees (contributor) - 1997

Persistent link: https://www.econbiz.de/10000972453

Efficient information aggregation : optimal structure of signal networks

Heidergott, Bernd; Hollander, Frank den; Lindner, Ines; … - 2025

This paper develops a mathematical framework to study signal networks, in which nodes can be active or inactive, and their activation or deactivation is driven by external signals and the states of the nodes to which they are connected via links. The focus is on determining the optimal number of...

Persistent link: https://www.econbiz.de/10015408439

Growth and risk : methodology and micro evidence

Elbers, Chris; Gunning, Jan Willem; Kinsey, Bill H. - 2006 - Rev.

There has been a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post … effects of risk using a stochastic version of the Ramsey model. We develop a simulation-based econometric methodology which … remarkable long-running panel data set for rural households in Zimbabwe. We find that risk substantially reduces growth: in the …

Persistent link: https://www.econbiz.de/10011334326

Vulnerability in a stochastic dynamic model

Elbers, Chris; Gunning, Jan Willem - 2003 - Rev.

Most measures of vulnerability are a-theoretic and essentially static. In this paper we use a stochastic Ramsey model to find a household's optimal welfare and we measure vulnerability as the shortfall from the welfare attained if the household consumed permanently at the poverty line. The...

Persistent link: https://www.econbiz.de/10011334363

How risky is investment in human capital?

Hartog, Joop; Ophem, Hans van; Bajdechi, Simona Maria - 2004

The risk of investment in schooling has largely been ignored. We assess thevariance in the rate of return by surveying … skewed. Our best guess of ex ante risk in university education is a coefficient ofvariation of about 0.3, comparable to that …

Persistent link: https://www.econbiz.de/10011335192