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Pitfalls in backtesting Historical Simulation VaR models

Escanciano, Juan Carlos; Pei, Pei - In: Journal of Banking & Finance 36 (2012) 8, pp. 2233-2244

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular 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/10010599640

Investigating the role of money in the identification of monetary policy behavior : a Bayesian DSGE perspective

Li, Bing; Liu, Qing; Pei, Pei - In: Macroeconomic dynamics 25 (2021) 6, pp. 1495-1537

Persistent link: https://www.econbiz.de/10012618224

Powerful backtests for historical simulation expected shortfall models

Du, Zaichao; Pei, Pei; Wang, Xuhui; Yang, Tao - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 864-874

Persistent link: https://www.econbiz.de/10015053499

Financial distress and fiscal inflation

Li, Bing; Pei, Pei; Tan, Fei - In: Journal of macroeconomics 70 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013274670

A simple and robust counterfactual impact evaluation

Du, Zaichao; Pei, Pei - In: Economics letters 207 (2021), pp. 1-3

Persistent link: https://www.econbiz.de/10013169928

Backtesting portfolio value‐at‐risk with estimated portfolio weights

Du, Zaichao; Pei, Pei - In: Journal of Time Series Analysis 41 (2020) 5, pp. 605-619

Persistent link: https://www.econbiz.de/10012283123

The impacts of China’s exchange rate regime reform in 2005 : A counterfactual analysis

Du, Zaichao; Li, Jie; Pei, Pei - In: Review of Development Economics 25 (2020) 1, pp. 430-448

Persistent link: https://www.econbiz.de/10012284070

Irregular identification of structural models with nonparametric unobserved heterogeneity

Escanciano, Juan Carlos - In: Journal of econometrics 234 (2023) 1, pp. 106-127

Persistent link: https://www.econbiz.de/10014364681

A simple and robust estimator for linear regression models with strictly exogenous instruments

Escanciano, Juan Carlos - In: The econometrics journal 21 (2018) 1, pp. 36-54

Persistent link: https://www.econbiz.de/10012166594

Semiparametric identification and fisher information

Escanciano, Juan Carlos - In: Econometric theory 38 (2022) 2, pp. 301-338

Persistent link: https://www.econbiz.de/10013187226

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