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Financial Risk Measurement for Financial Risk Management
Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10011271444
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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, Mitchell - National Bureau of Economic Research (NBER) - 2005
In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions...
Persistent link: https://www.econbiz.de/10005040616
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Volatility Forecasting
Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2005
forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …
Persistent link: https://www.econbiz.de/10005829302
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Modeling and Forecasting Realized Volatility
Bollerslev, Tim; Diebold, Francis; Andersen, Torben G.; … - National Bureau of Economic Research (NBER) - 2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications. …
Persistent link: https://www.econbiz.de/10005774835
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Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Bollerslev, Tim; Diebold, Francis; Andersen, Torben G. - National Bureau of Economic Research (NBER) - 2005
A rapidly growing literature has documented important improvements in financial return volatility measurement and …
Persistent link: https://www.econbiz.de/10005049940
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Why High-order Polynomials Should not be Used in Regression Discontinuity Designs
Imbens, Guido; Gelman, Andrew - National Bureau of Economic Research (NBER) - 2014
It is common in regression discontinuity analysis to control for high order (third, fourth, or higher) polynomials of the forcing variable. We argue that estimators for causal effects based on such methods can be misleading, and we recommend researchers do not use them, and instead use...
Persistent link: https://www.econbiz.de/10010890098
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Sorting Between and Within Industries: A Testable Model of Assortative Matching
Abowd, John M.; Kramarz, Francis; Pérez-Duarte, Sébastien - National Bureau of Economic Research (NBER) - 2014
We test for sorting of workers between and within industrial sectors in a directed search model with coordination frictions. We fit the model to sector-specific vacancy and output data along with publicly-available statistics that characterize the distribution of worker and employer wage...
Persistent link: https://www.econbiz.de/10010951088
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Estimating Dynamic Equilibrium Models with Stochastic Volatility
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2012
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...
Persistent link: https://www.econbiz.de/10011252335
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Estimation of Random Coefficient Demand Models: Challenges, Difficulties and Warnings
Knittel, Christopher R.; Metaxoglou, Konstantinos - National Bureau of Economic Research (NBER) - 2008
Empirical exercises in economics frequently involve estimation of highly nonlinear models. The criterion function may not be globally concave or convex and exhibit many local extrema. Choosing among these local extrema is non-trivial for a variety of reasons. In this paper, we analyze the...
Persistent link: https://www.econbiz.de/10005248843
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Assessing Structural VARs
Christiano, Lawrence; Eichenbaum, Martin; Vigfusson, … - National Bureau of Economic Research (NBER) - 2006
This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus on two key issues. First, do VAR-based confidence intervals accurately reflect the actual degree of sampling uncertainty associated with impulse response functions? Second,...
Persistent link: https://www.econbiz.de/10005084753