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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Del Negro, Marco - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10014400963
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Nowcasting GDP : a scalable approach using DFM, machine learning and novel data, applied to European economies
Dauphin, Jean-François; Dybczak, Kamil; Maneely, Morgan; … - 2022
This paper describes recent work to strengthen nowcasting capacity at the IMF's European department. It motivates and compiles datasets of standard and nontraditional variables, such as Google search and air quality. It applies standard dynamic factor models (DFMs) and several machine learning...
Persistent link: https://www.econbiz.de/10013169983
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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos - 2007
appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …
Persistent link: https://www.econbiz.de/10014399716
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Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions
MacDonald, Ronald - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Cointegration and Long-Horizon Forecasting
Diebold, Francis X. - 1997
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures....
Persistent link: https://www.econbiz.de/10014400530
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The Use of Encompassing Tests for Forecast Combinations
Kisinbay, Turgut - 2007
The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....
Persistent link: https://www.econbiz.de/10014401070
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A Simple Forecasting Accuracy Criterion Under Rational Expectations : Evidence From the World Economic Outlook and Time Series Models
Barrionuevo, José M. - 1992
A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...
Persistent link: https://www.econbiz.de/10014396084
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Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …
Persistent link: https://www.econbiz.de/10014400415
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143