Similar Search Results

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary Economics 11 (2017) 1, pp. 91-106

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias …-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …

Persistent link: https://www.econbiz.de/10011659907

Fractional Response Models - A Replication Exercise of Papke and Wooldridge (1996)

Oberhofer, Harald; Pfaffermayr, Michael - In: Contemporary Economics 6 (2012) 3, pp. 56-64

This paper replicates the estimates of a fractional response model for share data reported in the seminal paper of Leslie E. Papke and Jeffrey M. Wooldridge published in the Journal of Applied Econometrics 11(6), 1996, pp.619-632. We have been able to replicate all of the reported estimation...

Persistent link: https://www.econbiz.de/10010436038

Scenario-based stress tests: Are they painful enough?

Ellis, Colin - In: Contemporary Economics 11 (2017) 2, pp. 219-234

Forecasts, models and stress tests are important tools for policymakers and business planners. Recent developments in these related spheres have seen greater emphasis placed on stress tests from a regulatory perspective, while at the same time forecasting performance has been criticized. Given...

Persistent link: https://www.econbiz.de/10011995303