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An Evaluation Framework for Alternative VaR Models

Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002

case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …

Persistent link: https://www.econbiz.de/10005123557

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

Persistent link: https://www.econbiz.de/10011083403

Bayesian VARs: Specification Choices and Forecast Accuracy

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification choices. In the baseline case, we use a Normal-Inverted Wishart (N-IW) prior that, when combined with a (pseudo-) iterated approach, makes the analytical computation of h-step ahead...

Persistent link: https://www.econbiz.de/10008854551

Forecasting Stock Returns under Economic Constraints

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...

Persistent link: https://www.econbiz.de/10011083895

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

Persistent link: https://www.econbiz.de/10005792458

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010

This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...

Persistent link: https://www.econbiz.de/10008468657

The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse

Hau, Harald - C.E.P.R. Discussion Papers - 2002

Minimum price variation rules (tick size rules) in the French stock market prior to 1999 provide a natural experiment on the role of transaction costs for financial price volatility. For stock prices above French francs (FF) 500, the minimal tick size for quotes increases from FF 0.1 to FF 1....

Persistent link: https://www.econbiz.de/10005114161

Modelling Scale-Consistent VaR with the Truncated Lévy Flight

Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2001

model with time varying scale parameter (GARCH process) with error terms that are truncated Lévy distributed. We determine … the appropriate GARCH specification for each data set by conducting a specification test based on a generalization of the … augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …

Persistent link: https://www.econbiz.de/10005792337

Macroeconomic Sources of FOREX Risk

Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002

and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …

Persistent link: https://www.econbiz.de/10005661706

Has the Transmission Mechanism of European Monetary Policy Changed in the Run-Up to EMU?

Ciccarelli, Matteo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2004

This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we find that (i) the long-run cumulative...

Persistent link: https://www.econbiz.de/10005791192