Showing 1 - 10 of 24
No, not really, since spectral estimators suffer from small sample and misspecification biases just as VARs do. Spectral estimators are no panacea for implementing long-run restrictions. In addition, when combining VAR coefficients with non-parametric estimates of the spectral density, care...
Persistent link: https://www.econbiz.de/10013128713
Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest rates. However …, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be … effectiveness of such methods in real time forecasting. We use forecasts from univariate time series models, the Survey of …
Persistent link: https://www.econbiz.de/10014057057
We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are also estimated directly from the banks' trading revenues and help to explain the...
Persistent link: https://www.econbiz.de/10013056161
Persistent link: https://www.econbiz.de/10010514782
Persistent link: https://www.econbiz.de/10011327124
Persistent link: https://www.econbiz.de/10011474102
Persistent link: https://www.econbiz.de/10011474529
Persistent link: https://www.econbiz.de/10011474551
Persistent link: https://www.econbiz.de/10011474611
Persistent link: https://www.econbiz.de/10011474904