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Measuring the origins of macroeconomic uncertainty
Mumtaz, Haroon - 2018
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
Persistent link: https://www.econbiz.de/10011895010
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
Persistent link: https://www.econbiz.de/10010339759
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
Persistent link: https://www.econbiz.de/10011303812
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Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes
Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024
Persistent link: https://www.econbiz.de/10014631072
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985
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Existence and uniqueness of solutions to the Bellman equation in stochastic dynamic programming
Rincón-Zapatero, Juan Pablo - 2022 - This Version: March 7, 2022
Persistent link: https://www.econbiz.de/10013449090
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Term structure of risk under alternative econometric specifications
Guidolin, Massimo (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003163904
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...
Persistent link: https://www.econbiz.de/10011306276
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....
Persistent link: https://www.econbiz.de/10010472852