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Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

Persistent link: https://www.econbiz.de/10012203657

A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?

David, Alexander; Veronesi, Pietro - 2022

In the past twenty years, measures of economic uncertainty have been developed that are either purely market price-based, structural model-based using data on real fundamentals and asset prices, text-based, or survey-based. We compare the performance of these uncertainty measures in forecasting...

Persistent link: https://www.econbiz.de/10013294567

Four essays on probabilistic forecasting in econometrics

Krüger, Fabian - 2013

Die vorliegende Dissertation befasst sich mit probabilistischen Prognosen, die seit einigen Jahren ein aktives ökonometrisches Forschungsgebiet darstellen. Da solche Prognosen eine vollständige Verteilung für die interessierende Zufallsvariable angeben, beinhalten sie Information über...

Persistent link: https://www.econbiz.de/10010243223

Evaluation of Probabilistic Forecasts : Proper Scoring Rules and Moments

Tsyplakov, Alexander - 2013

The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI...

Persistent link: https://www.econbiz.de/10013084839

Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death

Fantazzini, Dean - 2022

risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic …

Persistent link: https://www.econbiz.de/10013404509

Probabilistic Quantile Factor Analysis

Korobilis, Dimitris; Schröder, Maximilian - 2023

This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is established that the proposed estimator can achieve, in many cases, better...

Persistent link: https://www.econbiz.de/10014344621

Disagreement versus Uncertainty : Evidence from Distribution Forecasts

Krueger, Fabian; Nolte, Ingmar - 2015

We use a cross-section of economic survey forecasts to predict the distribution of US macro variables in real time. This generalizes the existing literature, which uses disagreement (i.e., the cross-sectional variance of survey forecasts) to predict uncertainty (i.e., the conditional variance of...

Persistent link: https://www.econbiz.de/10014044865

Understanding the Sources of Macroeconomic Uncertainty

Rossi, Barbara - 2016

We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures … various components of our decomposition in a model that features ambiguity and risk …

Persistent link: https://www.econbiz.de/10012992154

Nowcasting Private Consumption : Traditional Indicators, Uncertainty Measures, Credit Cards and Some Internet Data

Gil, Maria - 2018

The focus of this paper is on nowcasting and forecasting quarterly private consumption. The selection of real-time, monthly indicators focuses on standard (“hard”/“soft” indicators) and less-standard variables. Among the latter group we analyze: i) proxy indicators of economic and policy...

Persistent link: https://www.econbiz.de/10012906689

Improved Forecasting of Realized Variance Measures

Bekierman, Jeremias - 2016

vary over time depending on estimated measurement errors. We propose an alternative specification that allows the … on the estimated measurement error. The model is estimated using the Kalman filter. Our analysis considers realized …

Persistent link: https://www.econbiz.de/10012986440