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Forecasting stock market volatility under parameter and model uncertainty

Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014463139

Uncertainty and consumption : evidence from the VAR-DCC-GARCH model

Kurasawa, Kazutaka - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 861-871

Persistent link: https://www.econbiz.de/10011906797

Time-Varying Autoregressions with Model Order Uncertainty

Prado, Raquel; Huerta, Gabriel - 2003

We explore some aspects of the analysis of latent component structure in non-stationary time series based on time-varying autoregressive (TVAR) models that incorporate uncertainty on model order. Our modelling approach assumes that the AR coefficients evolve in time according to a random walk...

Persistent link: https://www.econbiz.de/10014111317

Sectoral uncertainty

Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

Persistent link: https://www.econbiz.de/10013478702

Sectoral uncertainty

Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...

Persistent link: https://www.econbiz.de/10013419275

Reconciling negative return skewness with positive time-varying risk premia

Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894

Persistent link: https://www.econbiz.de/10013364913

Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

Persistent link: https://www.econbiz.de/10012795821