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Risk management-driven policy rate gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10011884396
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The behavior of uncertainty and disagreement and their roles in economic prediction : a panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also … explore the relationship between uncertainty and disagreement, as well as their roles in respondents' forecast performance and … forecast revisions. We observe substantial heterogeneity in respondents' uncertainty and disagreement. In addition, there is …
Persistent link: https://www.econbiz.de/10011604042
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Discussion of Active Risk Models
Patev, Plamen - 2019
Persistent link: https://www.econbiz.de/10012891829
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Market Risk and the Momentum Mystery
Kolari, James W. - 2019
This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...
Persistent link: https://www.econbiz.de/10012897530
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Risk Management-Driven Policy Rate Gap
Caggiano, Giovanni - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10012910624
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The GJR GARCH(1,1) Process As Regularly Varying : Implications for Efficient Model Estimation and Risk Measurement
Prono, Todd - 2018
Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...
Persistent link: https://www.econbiz.de/10012933309
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On Pricing Kernels, Information and Risk
Wilcox, Diane - 2015
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...
Persistent link: https://www.econbiz.de/10013034895
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Measuring Long-Term Tail Risk : Evaluating the Performance of the Square-Root-of-Time Rule
Wang, Jying-Nan - 2019
This paper focuses on risk over long time horizons and within extreme percentiles, which have attracted considerable recent interest in numerous subfields of finance. Value at risk (VaR) aggregates several components of asset risk into a single quantitative measurement and is commonly used in...
Persistent link: https://www.econbiz.de/10012872088
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Alternative Risk Premia Primer
Leveau, Daniel; Sahote, Navdeep - 2023
The combination of last year’s large sell-off in the financial markets, a challenging macroeconomic environment, and heightened volatility has led institutional investors to reassess their strategic asset allocation. Guiding these reassessments is the central question of how best to fulfill...
Persistent link: https://www.econbiz.de/10014362192
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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...
Persistent link: https://www.econbiz.de/10014532413