In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

The paper studies the forecasting of a future size distribution of plants. As a model we use an open Markov chain model for macro data. Estimation is by reparametrization instead of by inequality restrictions using single equation least squares. The estimator is studied in a small Monte Carlo...

This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the...

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

The impact of news of the Moscow and New York stock market exchanges on the <p> returns and volatilities of the Baltic state stock market indices is studied using daily <p> return data for the period of 2000-2005. A nonlinear time series model that accounts <p> for asymmetries in the conditional mean and...</p></p></p>

This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically,...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...