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Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

Persistent link: https://www.econbiz.de/10012963187

Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

Persistent link: https://www.econbiz.de/10012455541

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10012759516

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Diebold, Francis X. - 2008

Persistent link: https://www.econbiz.de/10012464836

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts – indeed they …

Persistent link: https://www.econbiz.de/10012911728

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022

regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts …

Persistent link: https://www.econbiz.de/10012814410

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts - indeed they …

Persistent link: https://www.econbiz.de/10012480620

Improving GDP Measurement : a Forecast Combination Perspective

Aruoba, S. Borağan - 2011

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Persistent link: https://www.econbiz.de/10013120293

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2002

This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...

Persistent link: https://www.econbiz.de/10012787458