Search Results - subject:"Risk forecasting"

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543

Persistent link: https://www.econbiz.de/10014543997

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Booms and busts in asset prices : risk modeling, bubble detection, and the role of monetary policy

Beckers, Benjamin - 2017

Persistent link: https://www.econbiz.de/10012659432

Forecasting risk via realized GARCH, incorporating the realized range

Chao, Wang; Richard, Gerlach - Business School, University of Sydney - 2014

compare favourably for tail risk forecasting, both during and after the global financial crisis. … more efficient series of information than re- alized variance or daily returns, for the purpose of volatility and tail risk … forecasting in a financial time series. A Bayesian adaptive Markov chain Monte Carlo method is employed for estimation and …

Persistent link: https://www.econbiz.de/10010951635

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10010292668

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

Persistent link: https://www.econbiz.de/10010632797

Finance, production, manufacturing and logistics: VaR models for dynamic Impawn rate of steel in inventory financing

Juan, He; Xianglin, Jiang; Jian, Wang; Lei, Chen - In: E3 Journal of Business Management and Economics. 3 (2012) 3, pp. 127-137

This paper presents a framework of setting the impawn rate dynamically by dividing the impawn period into different risk windows. Besides, it proposes that compared with pledging loan of bonds and stocks, the essence of inventory financing is to forecast the long-term risk from short-term data,...

Persistent link: https://www.econbiz.de/10010558978

ПРИМЕНЕНИЕ ТЕОРИИ САМООРГАНИЗАЦИИ К ОЦЕНКЕ СОВОКУПНОГО РИСКА ИННОВАЦИОННОЙ ДЕЯТЕЛЬНОСТИ ПРЕДПРИЯТИЯ

СЕРГЕЕВИЧ, БУЙМОВ АНТОН - In: Вестник Южно-Уральского … (2011) 3, pp. 54-58

Статья посвящена рассмотрению проблемы прогнозирования суммарного риска инновационной деятельности. Была заложена модель на основе теории самоорганизации,...

Persistent link: https://www.econbiz.de/10011237725

Are realized volatility models good candidates for alternative Value at Risk prediction strategies?

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - Volkswirtschaftliche Fakultät, … - 2011

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...

Persistent link: https://www.econbiz.de/10009001164