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Prognostyczne uwarunkowania ryzyka gospodarczego i społecznego
Szkutnik, Włodzimierz (contributor) - 2013
Persistent link: https://www.econbiz.de/10009755762
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Dynamic leverage asset pricing
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2016
Persistent link: https://www.econbiz.de/10011544472
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Incorporating the dynamics of leverage into default prediction
Löffler, Gunter; Maurer, Alina - 2009
, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a …
Persistent link: https://www.econbiz.de/10003828659
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A framework for conditional failure prediction
Vermeulen, Erik P. M.; Spronk, Jaap; Wijst, Nico van der - 1995
Persistent link: https://www.econbiz.de/10000908885
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An uncertainty principle for stationary time series
Blankmeyer, Eric - 1993
Persistent link: https://www.econbiz.de/10000873493
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Epistemology in economics : three notes
Blankmeyer, Eric - 1994
Persistent link: https://www.econbiz.de/10000891600
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...
Persistent link: https://www.econbiz.de/10010438928
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Bayesian risk forecasting for long horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
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Estimating macroeconomic uncertainty and discord using info-metrics
Lahiri, Kajal; Wang, Wuwei - 2019
We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment-based estimates. We find these two approaches to produce...
Persistent link: https://www.econbiz.de/10012024647
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Measuring inflation uncertainty in Turkey
Gülşen, Eda; Kara, Hakan - Türkiye Cumhuriyet Merkez Bankası - 2019
Persistent link: https://www.econbiz.de/10012110052