We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions — unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the...

In this paper we discuss how to compare various (possibly misspecified) density forecast models using the Kullback-Leibler information criterion (KLIC) of a candidate density forecast model with respect to the true density. The KLIC differential between a pair of competing models is the...

We explore the relative weekly stock market volatility forecasting performance of the linear univariate MIDAS regression model based on squared daily returns vis-a-vis the benchmark model of GARCH(1,1) for a set of four developed and ten emerging market economies. We first estimate the two...

This paper discusses the complexities and challenges in finding a stable long-run solution for the Eurozone crisis. We first discuss the macroeconomic and structural differences among North and South European countries. Focusing on trade, labour productivity and balance of payments data, we show...

In this paper, we investigate the interrelations among Turkish interest rates with different maturities by using a regime switching Vector Error Correction (VECM) model. We find a long run equilibrium relationship among interest rates with various maturities. Furthermore we conclude that term...