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Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10010326148

Metcalfe's law and herding behaviour in the cryptocurrencies market

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2019

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

Persistent link: https://www.econbiz.de/10011984445

Metcalfe's law and log-period power laws in the cryptocurrencies market

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-29, pp. 1-26

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law...

Persistent link: https://www.econbiz.de/10012007754

Volatility forecasting: Downside risk, jumps and leverage effect

Audrino, Francesco; Hu, Yujia - In: Econometrics 4 (2016) 1, pp. 1-24

We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and...

Persistent link: https://www.econbiz.de/10011755317

Cryptocurrencies, Metcalfe's law and LPPL models

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2018

In this paper we investigate the statistical properties of cryptocurrencies by using alpha-stable distributions. We also study the benefits of the Metcalfe's law (the value of a network is proportional to the square of the number of connected users of the system) for the evaluation of...

Persistent link: https://www.econbiz.de/10012433205

From zero to hero: Realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021

This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...

Persistent link: https://www.econbiz.de/10012817062

Inference for rank-rank regressions

Chetverikov, Denis N.; Wilhelm, Daniel - 2023

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...

Persistent link: https://www.econbiz.de/10014480485

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. …

Persistent link: https://www.econbiz.de/10010276410

Do survey indicators let us see the business cycle? A frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011506652

Generalized canonical regression

Estrella, Arturo - 2007

This paper introduces a generalized approach to canonical regression, in which a set of jointly dependent variables enters the left-hand side of the equation as a linear combination, formally like the linear combination of regressors in the right-hand side of the equation. Natural applications...

Persistent link: https://www.econbiz.de/10010283323