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Regulatory evaluation of value-at-risk models

Lopez, Jose A. - Federal Reserve Bank of New York - 1997

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...

Persistent link: https://www.econbiz.de/10005526313

Oil price forecast evaluation with flexible loss functions

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; … - 2011

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using …

Persistent link: https://www.econbiz.de/10010279625

How stable is the predictive power of the yield curve? Evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10010283311

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - 2007

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

Persistent link: https://www.econbiz.de/10010312337

The future trajectory of US CO2 emissions : the role of state vs. aggregate information

Auffhammer, Maximilian; Steinhauser, Ralf - Department of Agricultural and Resource Economics, … - 2006

Persistent link: https://www.econbiz.de/10008592464

Predicting the money stock: a comparison of alternative approaches

Motley, Brian; Rasche, Robert H. - In: Economic Review (1986) Spr, pp. 38-54

Persistent link: https://www.econbiz.de/10005352321

Predicting contemporaneous output

Trehan, Bharat - In: Economic Review (1992), pp. 3-11

Persistent link: https://www.econbiz.de/10005352328

A state space forecasting model with fiscal and monetary control

Allen, Donald S.; Pasupathy, Meenakshi - Federal Reserve Bank of St. Louis - 1997

In this paper we model the U.S. economy parsimoniously in an a theoretic state space representation. We use monthly data for thirteen macroeconomic variables. We treat the federal deficit as a proxy for fiscal policy and the fed funds rate as a proxy for monetary policy and use each of them as...

Persistent link: https://www.econbiz.de/10005352818

A vector error correction forecasting model of the U.S. economy

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - Federal Reserve Bank of St. Louis - 2001

stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is …

Persistent link: https://www.econbiz.de/10005360642

Forecasting and modeling the U.S. economy in 1986-88

Roberds, William; Todd, Richard M. - In: Quarterly Review (1987) Win, pp. 7-20

Persistent link: https://www.econbiz.de/10005360913