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Statistical methods in finance
Maddala, Gangadharrao S. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000610528
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Annals of econometrics: forecasting and empirical methods in finance and macroeconomics
Diebold, Francis X. (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10001617180
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Density forecasting : a survey
Tay, Anthony S. A.; Wallis, Kenneth Frank - In: Journal of forecasting 19 (2000) 4, pp. 235-254
Persistent link: https://www.econbiz.de/10001504601
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Backtesting Value at Risk and Expected Shortfall
Roccioletti, Simona - 2016 - 1st ed. 2016
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected...
Persistent link: https://www.econbiz.de/10014018353
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Backtesting value at risk and expected shortfall
Roccioletti, Simona - 2016 - 1st ed. 2016
Persistent link: https://www.econbiz.de/10011411468
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Applied econometrics
Mills, Terence C. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003750359
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Future changes in age and household patterns : some implications for public finances
Højbjerg Jacobsen, Rasmus; Hougaard Jensen, Svend Erik - In: International journal of forecasting 30 (2014) 4, pp. 1110-1119
Persistent link: https://www.econbiz.de/10010517767
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Demographic forecasts and fiscal policy rules
Lassila, Jukka; Valkonen, Tarmo; Alho, Juha M. - In: International journal of forecasting 30 (2014) 4, pp. 1098-1109
Persistent link: https://www.econbiz.de/10010517768
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Predicting fiscal crises
Cerovic, Svetlana; Gerling, Kerstin; Hodge, Andrew; … - 2018
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce...
Persistent link: https://www.econbiz.de/10011905898
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Predicting Fiscal Crises
Cerovic, Svetlana - 2018
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce...
Persistent link: https://www.econbiz.de/10012912485