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Quantifying risk and uncertainty in macroeconomic forecasts
Knüppel, Malte (contributor);  … - 2007
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...
Persistent link: https://www.econbiz.de/10003546003
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Portfolio management with semi-parametric bootstrapping
Mendes, Beatriz Vaz de Melo; Leal, Ricardo Pereira Câmara - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 174-183
Persistent link: https://www.econbiz.de/10003963539
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Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Yang, Bowen; Li, Jackie; Balasooriya, Uditha - In: Insurance / Mathematics & economics 62 (2015), pp. 16-27
Persistent link: https://www.econbiz.de/10011312091
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Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 374-381
Persistent link: https://www.econbiz.de/10009517556
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On the volatility of measures of financial risk : an investigation using returns from European markets
Eftekhari, Babak; Pedersen, Christian S.; Satchell, Stephen - In: The European journal of finance 6 (2000) 1, pp. 18-38
Persistent link: https://www.econbiz.de/10001526025
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Testing for independence in multivariate duration models
Söderberg, Hans; Lyhagen, Johan - 1999
Persistent link: https://www.econbiz.de/10001393363
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Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293
Persistent link: https://www.econbiz.de/10012817747
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Quantifying Risk and Uncertainty in Macroeconomic Forecasts
Knüppel, Malte - 2016
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...
Persistent link: https://www.econbiz.de/10012991130
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ICO Tokens as an Alternative Financial Instrument: A Risk Measurement
Kuryłek, Zbigniew - In: European research studies 23 (2020) 4, pp. 512-530
Persistent link: https://www.econbiz.de/10012511254
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Minimizing post-shock forecasting error through aggregation of outside information
Lin, Jilei; Eck, Daniel J. - In: International journal of forecasting 37 (2021) 4, pp. 1710-1727
Persistent link: https://www.econbiz.de/10013274333