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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10011256696
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Economic Valuation of Liquidity Timing
Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of...</p>
Persistent link: https://www.econbiz.de/10011257598
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10011255545
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011257049
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10009369369
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10008838640
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Instituut - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10011256392
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non …
Persistent link: https://www.econbiz.de/10011256871
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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10011256800
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Forecasting Interest Rates with Shifting Endpoints
Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - Tinbergen Instituut - 2012
"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …
Persistent link: https://www.econbiz.de/10011257019