Similar Search Results

Aggregating credit and market risk : the impact of model specification

Lucas, André; Verhoef, Bastiaan - 2012

Persistent link: https://www.econbiz.de/10010191011

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

dynamics of higher-order moments, and to the other preferred choice of forecasting distribution. We apply our method to Value-at-Risk …

Persistent link: https://www.econbiz.de/10010384110

Score driven exponentially weighted moving averages and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2015

. The method is applied to Value-at-Risk forecasting with (skewed) Student's t distributions and a time-varying degrees of …

Persistent link: https://www.econbiz.de/10011332948

Score-driven exponentially weighted moving averages and Value-at-Risk forecasting

Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302

Persistent link: https://www.econbiz.de/10011596763

A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior

Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39

Persistent link: https://www.econbiz.de/10001441592

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Persistent link: https://www.econbiz.de/10011382429