Showing 1 - 10 of 1,101
This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...
Persistent link: https://www.econbiz.de/10014351609
This article aims to build through the collection of inputs from prior research, regulatory input and practitioner's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept: (1) risk is the potential that events may have an...
Persistent link: https://www.econbiz.de/10012998705
This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios within a divergence restricted region. The set of...
Persistent link: https://www.econbiz.de/10012902575
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10013155481
This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund returns. Using exponential GARCH models to estimate conditional idiosyncratic volatility, we find a significant positive relation between conditional idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10013062146
This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...
Persistent link: https://www.econbiz.de/10011905243
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...
Persistent link: https://www.econbiz.de/10012871525
In the past twenty years, measures of economic uncertainty have been developed that are either purely market price-based, structural model-based using data on real fundamentals and asset prices, text-based, or survey-based. We compare the performance of these uncertainty measures in forecasting...
Persistent link: https://www.econbiz.de/10013294567
This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard errors, I provide improved investment strategies and ex-post out-of-sample (OOS) statistical inferences relative to existing literature. The equal-weighted (value-weighted)...
Persistent link: https://www.econbiz.de/10014351880
This study proposes a new approach for estimating value at risk (VaR). This approach combines quasi-maximum-likelihood fitting of asymmetric conditional autoregressive range (ACARR) models to estimate the current volatility and classical extreme value theory (EVT) to estimate the tail of the...
Persistent link: https://www.econbiz.de/10013007458