Narrow search
Showing 1 - 10 of 44,198
Cover Image
From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts
Ganics, Gergely Akos; Rossi, Barbara; Sekhposyan, Tatevik - 2019
Surveys of Professional Forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no consensus about their quality. This is partly because such surveys are often conducted for...
Persistent link: https://www.econbiz.de/10012523728
Cover Image
Estimation of the business cycle : a modified Hodrick-Prescott filter
Kaiser, Regina; Maravall Herrero, Agustín - 1999
El trabajo analiza el filtro de Hodrick-Prescott para series trimestrales. Se discuten primero algunas de las criticas mas relevantes. Mientras que el filtro tiene un fuerte efecto sobre la autocorrelacion, su efecto sobre las correlaciones curzadas es pequeño. Se argumenta que no es correcta...
Persistent link: https://www.econbiz.de/10012529921
Cover Image
Estimation of regulatory credit risk models
Pérez Montes, Carlos - 2013
Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit … standard credit risk model of Basel II and generalized models. I find evidence of persistence in the credit latent factor and … scenarios ; Este artículo estima un modelo general de riesgo de crédito que incluye tanto factores macroeconómicos como factores …
Persistent link: https://www.econbiz.de/10012530413
Cover Image
Immigration and the macroeconomy : some new empirical evidence
Furlanetto, Francesco; Robstad, Ørjan - 2017
Proponemos un nuevo esquema de identificación VAR que nos permite separar perturbaciones migratorias de otras perturbaciones macroeconómicas. La identificación se logra imponiendo restricciones de signo a datos noruegos para el período I TR 1990-II TR 2014. La disponibilidad de series...
Persistent link: https://www.econbiz.de/10012530555
Cover Image
Optimal density forecast combinations
Ganics, Gergely Akos - 2017
¿Cómo se combinan las densidades predictivas para mejorar las predicciones? En el presente trabajo se propone una serie de estimadores consistentes ponderados, los cuales proporcionan combinaciones de densidad de predicción que aproximan el valor real de la densidad predictiva, condicionado...
Persistent link: https://www.econbiz.de/10012530592
Cover Image
Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
Cover Image
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim; Schlütter, Sebastian - In: Journal of banking & finance 134 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Cover Image
Is there a risk and return relation?
Fifield, S. G. M.; McMillan, David G.; McMillan, Fiona J. - In: The European journal of finance 26 (2020) 11, pp. 1075-1101
Persistent link: https://www.econbiz.de/10012264949
Cover Image
The impact of input and output decisions on agricultural production risk
Chavas, Jean-Paul; Cooper, Joseph C.; Wallander, Steven - In: Journal of agricultural and resource economics : JARE ; … 44 (2019) 3, pp. 513-535
Persistent link: https://www.econbiz.de/10012112115
Cover Image
Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling …
Persistent link: https://www.econbiz.de/10011866456