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Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights
Pei, Pei - 2011
This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in … forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights …
Persistent link: https://www.econbiz.de/10013132320
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Pitfalls in Backtesting Historical Simulation VAR Models
Escanciano, Juan Carlos - 2012
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...
Persistent link: https://www.econbiz.de/10013108779
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Robust Backtesting Tests for Value-at-Risk Models
Escanciano, Juan Carlos; Olmo, Jose - 2009
in the absence of estimation risk, the unconditional backtest is affected by model misspecification but the independence …
Persistent link: https://www.econbiz.de/10014212675
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Backtesting the Tail Risk of VaR in Holding US Dollars
Wong, Woon K. - 2008
The US dollar is the most widely held currency in the world. In recent years, however, it suffered huge depreciation. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile measure, VaR disregards valuable information conveyed by...
Persistent link: https://www.econbiz.de/10014222328
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Cross-Border Intra-Group Financial Transactions - Evidence from Germany
Greil, Stefan - 2016
Literature provides evidence of profit shifting of MNEs, particularly by intercompany debt. Therefore, we conducted a broad empirical investigation (survey), focusing on specific issues regarding cross-border intra-group financial transactions. This paper aims to work out empirical evidence of...
Persistent link: https://www.econbiz.de/10012994963
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Tax Elasticity Estimates for Capital Stocks in Canada
Wen, Jean-François - 2020
The paper provides estimates of the long-run, tax-adjusted, user cost elasticity of capital (UCE) in a small open economy, exploiting three sources of variation in Canadian tax policy: across provinces, industries, and years. Estimates of the UCE with Canadian data are less prone to the...
Persistent link: https://www.econbiz.de/10012829695
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Asymmetric FDI and Tax-Treaty Bargaining : Theory and Evidence
Chisik, Richard; Davies, Ronald B. - 2003
Tax treaties are often viewed as a mechanism for eliminating tax competition, however this approach ignores the need for bargaining over the treaty's terms. This paper focuses on how bargaining can affect the withholding taxes set under the treaty. In a simple framework, we develop hypotheses...
Persistent link: https://www.econbiz.de/10014075831
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Finding Evidence for Country Specific Double Tax Treaties
Diller, Markus; Ehm, Daniel; Katzlmayr, Patrick; … - 2022
We investigate the outcome of bilateral tax competition by analyzing Double Tax Treaties (DTT). DTTs are the crucial means of splitting a tax base between two countries. Yet, there are only few empirical results on the textual design of DTTs. We develop a novel approach to quantitatively analyze...
Persistent link: https://www.econbiz.de/10014256341
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Deriving a lower bound for the proportion of perceivers in replicated difference tests by means of multiple test theory
Meyners, Michael - 2002
Analyzing repeated difference tests aims in significance testing for differences as well as in estimating the mean discrimination ability of the consumers. In addition to the average success probability, the proportion of consumers that may detect the difference between two products and...
Persistent link: https://www.econbiz.de/10009770524
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The impact of introducing an interest barrier : evidence from the German corporation tax reform 2008
Buslei, Hermann; Simmler, Martin - 2012
In this study we investigate the impact of the thin capitalization rule (TCR), introduced in Germany in 2008, on firms' capital structure, investment and profitability. The identification of the causal effects is based on the escape clauses in the regulation using a difference-in-difference...
Persistent link: https://www.econbiz.de/10009579254