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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

In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...

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

Modelling Scale-Consistent VaR with the Truncated Lévy Flight

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

augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast … future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996 …

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

Origins of Stock Market Fluctuations

Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2015

Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...

Persistent link: https://www.econbiz.de/10011145420

Monetary Policy Regimes and the Term Structure of Interest Rates

Bikbov, Ruslan; Chernov, Mikhail - C.E.P.R. Discussion Papers - 2008

regime changes in the volatility of exogenous output and inflation shocks, in the monetary policy rule, and in the volatility … estimation. Counterfactual analysis uses the disentangled regimes in policy and shocks to understand their importance for the … great moderation. The low-volatility regime of exogenous shocks during the last two decades plays an important role, while …

Persistent link: https://www.econbiz.de/10005791862

Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...

Persistent link: https://www.econbiz.de/10005124441

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability

Aiolfi, Marco; Rodriguez, Marius; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2010

This paper studies the asymmetric behavior of negative and positive values of analysts' earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of log-normals model that accounts for differences in the magnitude and persistence of positive,...

Persistent link: https://www.econbiz.de/10008468633

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

Sarno, Lucio; Thornton, Daniel L; Valente, Giorgio - C.E.P.R. Discussion Papers - 2005

This paper tests the expectations hypothesis (EH) using US monthly data for bond yields spanning the 1952-2003 sample …; and (b) by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While …

Persistent link: https://www.econbiz.de/10005791434

Properties of Foreign Exchange Risk Premiums

Sarno, Lucio; Schneider, Paul; Wagner, Christian - C.E.P.R. Discussion Papers - 2011

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Persistent link: https://www.econbiz.de/10009209825

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

Della Corte, Pasquale; Sarno, Lucio; Thornton, Daniel L - C.E.P.R. Discussion Papers - 2007

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000a) in two directions: (i) we implement statistical tests designed to increase test power in this...

Persistent link: https://www.econbiz.de/10005792386

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005504404