An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. Institution level order flow is much...

We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions — unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the...

In this paper we discuss how to compare various (possibly misspecified) density forecast models using the Kullback-Leibler information criterion (KLIC) of a candidate density forecast model with respect to the true density. The KLIC differential between a pair of competing models is the...