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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
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
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …
Persistent link: https://www.econbiz.de/10013214142
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Non-normality in financial markets and the measurement of risk
Lau, Christian - 2015
; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen … Gaussian distribution (NIG distribution); realized moments; stylized facts of financial time series; value at risk … jeweils eine Value at Risk-Berechnung. Im ersten Kapitel wird die Verteilung von Renditen europäischer Staatsanleihen …
Persistent link: https://www.econbiz.de/10011440567
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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 … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …
Persistent link: https://www.econbiz.de/10012827639
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Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models
Blasques, Francisco - 2014
-border lending data and include country-specific and Europe-wide risk factors as controls. We find a high, time-varying degree of …
Persistent link: https://www.econbiz.de/10013049149