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Robust and Practical Estimation for Measures of Tail Risk
Homescu, Cristian - 2014
We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze … and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting … and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We …
Persistent link: https://www.econbiz.de/10013053188
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Maxentropic approach to decompound aggregate risk losses
Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 64 (2015), pp. 326-336
Persistent link: https://www.econbiz.de/10011398090
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On the applicability of maximum likelihood methods : from experimental to financial data
Jakusch, Sven Thorsten - 2016
risk preferences and cannot be simply remedied by using a higher standard deviation of the error term or a different …
Persistent link: https://www.econbiz.de/10011539677
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David - 2009
applications of the Bayesian estimation of GARCH models. We show how agents facing different risk perspectives can select their … propose a methodology to depict the density of the one-day ahead VaR and document how specific forecasters' risk perspectives …
Persistent link: https://www.econbiz.de/10013156202
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Some Statistical Tests and Experiments for Correlation of Financial Series
Dokuchaev, Nikolai - 2009
This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation
Persistent link: https://www.econbiz.de/10013157756
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Comparing Dynamic Equilibrium Economies to Data : A Bayesian Approach
Fernández-Villaverde, Jesús - 2015
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...
Persistent link: https://www.econbiz.de/10013032688
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Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models
Chen, Cathy W. S.; Gerlach, Richard H.; Choy, Boris; … - 2009
A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling...
Persistent link: https://www.econbiz.de/10014204112
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
) framework, Regularised Covariance Regression (RCR) framework, Risk Premia Parity (RPP) weighting functions, Singular Spectrum … the portfolio risk measures based on forecasted covariance assumptions. Explicit financial factors can be used in the …
Persistent link: https://www.econbiz.de/10014253907
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Comparing Dynamic Equilibrium Economies to Data
Fernández-Villaverde, Jesús; Rubio-Ramirez, Juan Francisco - 2002
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...
Persistent link: https://www.econbiz.de/10014122702
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Data Mining Reconsidered : Encompassing and the General-to-Specific Approach to Specification Search
Hoover, Kevin D.; Perez, Stephen J. - 2008
The effectiveness of one aspect of the London School of Economics (LSE) approach to econometrics is assessed in a simulation study. The paper uses a data set and nine models analogous to those in Lovell's (1983) study of data mining. A simplified general-to-specific algorithm is tested in a...
Persistent link: https://www.econbiz.de/10014071705