Narrow search
Showing 1 - 10 of 698,687
Cover Image
Uncertainty Measures from Partially Rounded Probabilistic Forecast Surveys
Glas, Alexander - 2020
Although survey-based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Forecasters who report inconspicuously low ex-ante variances often produce squared forecast errors that are much...
Persistent link: https://www.econbiz.de/10012843568
Cover Image
Uncertainty measures from partially rounded probabilistic forecast surveys
Glas, Alexander; Hartmann, Matthias - In: Quantitative economics : QE ; journal of the … 13 (2022) 3, pp. 979-1022
Although survey‐based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Professional forecasters who report inconspicuously low ex ante variances often produce squared forecast errors...
Persistent link: https://www.econbiz.de/10013382059
Cover Image
Forecasting Bitcoin Risk Measures : A Robust Approach
Trucíos, Carlos - 2018
, practitioners and researchers. However, little attention has been paid to the predictability of their risk measures. In this paper …, we compare the predictability of the one-step-ahead volatility and Value-at-Risk of Bitcoin using several volatility … models. We also include procedures that take into account the presence of outliers and estimate the volatility and Value-at-Risk …
Persistent link: https://www.econbiz.de/10012917666
Cover Image
Predicting Risk with Risk Measures : An Empirical Study
Bräutigam, Marcel - 2018
In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …
Persistent link: https://www.econbiz.de/10012919289
Cover Image
On the Measurement of Economic Tail Risk
Kou, Steven - 2015
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not … only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only … risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of …
Persistent link: https://www.econbiz.de/10013034370
Cover Image
Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...
Persistent link: https://www.econbiz.de/10013314570
Cover Image
Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates and previous-year equivalence income, to classify a household as...
Persistent link: https://www.econbiz.de/10009671469
Cover Image
Measuring Longevity Risk Through a Neural Network Lee-Carter Model
Marino, Mario - 2020
One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee-Carter model. These models essentially use the ARIMA processes...
Persistent link: https://www.econbiz.de/10012834239
Cover Image
Measuring macroeconomic uncertainty : a cross-country analysis
Dibiasi, Andreas; Sarferaz, Samad - 2020
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic...
Persistent link: https://www.econbiz.de/10012228723
Cover Image
Bespoke Realized Volatility : Tailored Measures of Risk for Volatility Prediction
Patton, Andrew J.; Zhang, Haozhe - 2023
Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of volatility to the application in which...
Persistent link: https://www.econbiz.de/10014255167