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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

Persistent link: https://www.econbiz.de/10011305389

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

Persistent link: https://www.econbiz.de/10012405456

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - 2014

the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …

Persistent link: https://www.econbiz.de/10013056633

Uncertainty and economic performance in the West African Monetary Zone (WAMZ) : a fixed effect panel threshold approach

Egbuna, Ngozi Eunice; John-Sowe, Maimuna; Mohammed, Dauda; … - 2020

single and double threshold effects thus justifying the acceptance of a nonlinear panel regression model against a linear one …

Persistent link: https://www.econbiz.de/10013342706

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

Persistent link: https://www.econbiz.de/10013251262

Are ESG Ratings Informative to Forecast Idiosyncratic Risk?

Boucher, Christophe; Le Lann, Wassim; Matton, Stéphane; … - 2023

. Technically, the inference is based on extending the conditional predictive ability test of Giacomini and White (2006) to a panel …

Persistent link: https://www.econbiz.de/10014353469

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal - 2015

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

Persistent link: https://www.econbiz.de/10013017623

Portfolio-Invariant Capital Allocation Scheme Accounting for Concentration Risk Based on Response Surface Methodology

Kao, Lie-Jane - 2014

The Euler allocation scheme is a well-suited risk management tool that meets the three axioms of capital allocation: diversification, continuity, and RORAC compatible. However, the Euler allocation scheme of the risk measure VaR meets the desirable property of portfolio-invariance only under the...

Persistent link: https://www.econbiz.de/10013046639

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

The Limits of Diversification and the Pricing of Tail Risk

Cruz Lopez, Jorge - 2011

This paper adopts a copula approach at assessing the dependence structure of the U.S. equity market. Seven types of copulas are considered: Gaussian, Student t, Clayton, rotated Clayton, Gumbel, rotated Gumbel and BB4. By adopting a twenty-two year sample of daily returns on the seventeen Fama...

Persistent link: https://www.econbiz.de/10013133874