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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance

Mykland, Per A. - 2016

The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...

Persistent link: https://www.econbiz.de/10013006101

Oil price drivers, geopolitical uncertainty and oil exporters' currencies

Akram, Qaisar Farooq - 2019

Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...

Persistent link: https://www.econbiz.de/10012214320

Model-Free Inference for Tail Risk Measures

Xu, Ke-Li - 2014

Understanding uncertainty in estimating risk measures is important in modern financial risk management. In this paper we consider a nonparametric framework that incorporates auxiliary information available in covariates, and propose a family of inferential methods for the value at risk, expected...

Persistent link: https://www.econbiz.de/10013047591

Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds

Malhotra, Yogesh - 2023

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

Persistent link: https://www.econbiz.de/10014263882

Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

Malhotra, Yogesh - 2015

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

Persistent link: https://www.econbiz.de/10013031477

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

Wesselhöfft, Niels - 2020

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

Persistent link: https://www.econbiz.de/10012827639

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper … highlight four main results. First, there seems to be a significant impact of political news on the returns and volatility of … volatility of BIST-100, while positive shocks derived from good news do not tend to have any significant impact on the returns …

Persistent link: https://www.econbiz.de/10012131511

Taxonomy of global risk, uncertainty, and volatility measures

Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, … - 2017

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …-marketbased measures of risk and uncertainty, including news-based and survey-based uncertainty measures of monetary policy and …

Persistent link: https://www.econbiz.de/10011780277

Extreme Risk Interdependence

Polanski, Arnold - 2015

Tail interdependence is defined as the situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multi-information to quantify tail interdependence at different levels of extremity, decompose it into systemic and...

Persistent link: https://www.econbiz.de/10013012369

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012

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