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Analyzing fixed-event forecast revisions
Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - 2013
Persistent link: https://www.econbiz.de/10009765842
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Combining Non-Replicable Forecasts
Chang, Chia-Lin - 2010
Macro-economic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert's touch,...
Persistent link: https://www.econbiz.de/10013142714
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de/10011431395
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10010532611
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Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin - 2016
We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently used to order distributions in terms of welfare and in portfolio selection. Basel Committee on Banking Supervision (BCBS) recommends bank risk managers to shift the current...
Persistent link: https://www.econbiz.de/10012996938
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
updates of the inflation rate and real GDP growth rate. Our empirical results suggest that the forecast updates for Taiwan are …
Persistent link: https://www.econbiz.de/10010326444
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Analyzing Fixed-Event Forecast Revisions
Chang, Chia-Lin; de Bruijn, Bert; Franses, Philip Hans; … - 2013
It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The...
Persistent link: https://www.econbiz.de/10010326506
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Are forecast updates progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009725301
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Are Forecast Updates Progressive?
Chang, Chia-Lin - 2010
quarterly data available of forecasts and updates of the inflation rate and real GDP growth rate. The actual series for both the … inflation rate and the real GDP growth rate are always released by the government one quarter after the release of the revised …-quarter forecast errors are predictable using publicly available information for both the inflation rate and real GDP growth rate …
Persistent link: https://www.econbiz.de/10013144919