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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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Risk measurement with spectral capital allocation
Overbeck, Ludger; Sokolova, Maria - In: Applied quantitative finance, (pp. 139-159). 2009
Persistent link: https://www.econbiz.de/10003746012
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …
Persistent link: https://www.econbiz.de/10002638723
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10013075857
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Measuring Us Uncertainty
Fountas, Stilianos; Kontana, Dimitra - 2021
In this paper, we introduce a new US uncertainty index which is more sensitive to consumer spending and therefore reflects households’ decisions. We find evidence that macroeconomic uncertainty shocks impose negative, statistically significant, and long-lasting effects on consumption, income...
Persistent link: https://www.econbiz.de/10013322199
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Measuring uncertainty about long-run predictions
Müller, Ulrich K.; Watson, Mark W. - In: The review of economic studies 83 (2016) 4, pp. 1711-1740
Persistent link: https://www.econbiz.de/10011656576
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10012459206
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Measuring Us Uncertainty
Kontana, Dimitra; Fountas, Stilianos - 2022
We introduce a new US uncertainty index which is more sensitive to consumer spending and therefore reflects households’ decisions. We find evidence that macroeconomic uncertainty shocks impose negative, statistically significant, and long-lasting effects on consumption, income and financial...
Persistent link: https://www.econbiz.de/10014239641
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Bespoke Realized Volatility : Tailored Measures of Risk for Volatility Prediction
Patton, Andrew J.; Zhang, Haozhe - 2023
Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of volatility to the application in which...
Persistent link: https://www.econbiz.de/10014255167