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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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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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Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi - In: Journal of mathematical finance 8 (2018) 1, pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
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The Spectral Stress VaR (SSVaR)
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - 2015
Persistent link: https://www.econbiz.de/10011635436
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Measures of uncertainty in economics
Bahmani-Oskooee, Mohsen; Hegerty, Scott W. - In: Economics of innovation, incentives and uncertainty, (pp. 141-153). 2012
Persistent link: https://www.econbiz.de/10009731074
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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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Measuring Uncertainty in Illiquid Markets
Cvijanovic, Dragana; Milcheva, Stanimira; Van de Minne, Alex - 2022
Employing a generalized Hamiltonian Monte Carlo Bayesian procedure we develop a new measure of real estate uncertainty that explicitly encapsulates conditional stochastic volatility and noise. When applied to commercial real estate (CRE) markets, results of Vector Autoregressive (VAR) modeling...
Persistent link: https://www.econbiz.de/10013403192
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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