The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...

In this paper, we consider both the partial unit root and the near partial unit root processes in nonlinear transition autoregression models. Our simulations show that when these time series data are used in ordinary least squares regression, spurious regression occurs. However, if we...

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF)...

A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...

In this issue we publish the fourth part of professor Fantazzini’s consultation series on econometric analysis of financial data in risk management. This time it deals with the topic of credit risk management. After having described one-dimensional models of credit risk in the previous issue...

This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion

The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced....