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Financial econometrics : methods and models

Wang, Peijie - 2003 - 1. publ.

Persistent link: https://www.econbiz.de/10001591634

Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

Hainaut, Donatien - 2013

This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare...

Persistent link: https://www.econbiz.de/10013076323

Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries

Castagna, Antonio - 2009

We extend the model presented in Bonollo et al. by introducing a multiscenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the...

Persistent link: https://www.econbiz.de/10013159300

Approximations of VAR as an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables

Hannah, Lincoln - 2015

specifically, subexponential random variables. A key application of this approximation is the calculation of operational VaR (value … & Klüppelberg (2005) & Böcker and Sprittulla (2006) and makes several advances. These include two new approximations of VaR and an … extension to multiple loss types where the VaR relates to a sum of random sums, each of which is defined by different …

Persistent link: https://www.econbiz.de/10013031755

Identification of seasonal effects in impulse responses using score-driven multivariate location models

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10012437812

On the identification of multivariate correlated unobserved components models

Trenkler, Carsten; Weber, Enzo - In: Economics letters 138 (2016), pp. 15-18

Persistent link: https://www.econbiz.de/10011615339

Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models

Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10012222592

Unveiling endogeneity and temporal dependence between tourism revenues/expenditures and macroeconomic variables in Brazil : a stochastic hidden Markov model approach

Wanke, Peter; Figueiredo, Otávio; Antunes, Jorge Junio … - In: Tourism economics : the business and finance of tourism … 25 (2019) 1, pp. 3-21

Persistent link: https://www.econbiz.de/10011985749

Does Monetary Policy Generate Recessions?

Sims, Christopher A.; Zha, Tao A. - 2014

The issue of uncovering the effects of monetary policy is far short of resolution. In the identified VAR literature …. We display a structural stochastic equilibrium model in which our VAR identification would produce correct results while …

Persistent link: https://www.econbiz.de/10014048962

Stochastic Dominance and Risk Measure : A Decision-Theoretic Foundation for VAR and C-Var

Wong, Wing-Keung; Ma, Chenghu - 2010

This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR … first-order stochastic dominance and the VaR, and the equivalence between the second-order stochastic dominance and the c*-VaR … as a modification of the conditional-VaR. We also discuss the usefulness and limitation of the VaRs and propose several …

Persistent link: https://www.econbiz.de/10014057675