Similar Search Results

Macroeconomic tail events with non-linear Bayesian VARs

Chiu, Ching Wai Jeremy; Hacıoǧlu Hoke, Sinem - 2016

Persistent link: https://www.econbiz.de/10011557391

VAR, Probability-of-Ruin and their Consequences for Normal or Lognormal Risks

Eisenberg, Larry - 2009

Despite the use of VaR as a means to control risk, using VaR can have the opposite effect. VaR is used by bank and … insurance regulators more than any other risk measure. A value-at-risk (VaR) constraint on the probability that future firm … who maximizes his firm's expected equity value subject to a VaR constraint, when the firm is in bad financial health, may …

Persistent link: https://www.econbiz.de/10013158157

Identifying high-frequency shocks with Bayesian mixed-frequency VARs

Paccagnini, Alessia; Parla, Fabio - 2021 - This version: 25th February 2021

Persistent link: https://www.econbiz.de/10012585978

Identifying high-frequency shocks with Bayesian mixed-frequency VARs

Paccagnini, Alessia; Parla, Fabio - 2021

Persistent link: https://www.econbiz.de/10012792759

Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - In: Journal of applied econometrics 39 (2024) 1, pp. 66-85

Persistent link: https://www.econbiz.de/10014474437

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

Persistent link: https://www.econbiz.de/10013169857

Skewed SVARS : tracking the structural sources of macroeconomic tail risks

Montes-Galdón, Carlos; Ortega, Eva - In: Essays in honour of Fabio Canova, (pp. 177-210). 2022

Persistent link: https://www.econbiz.de/10013445157

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/10011760487

Un-truncating VARs

De Graeve, Ferre; Westmark, Andreas - 2013

Macroeconomic research often relies on structural vector autoregressions to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to DSGE-models. Empirically, short lag-length is deemed necessary as increased...

Persistent link: https://www.econbiz.de/10009761529

Network VAR models to measure financial contagion

Ahelegbey, Daniel Felix; Giudici, Paolo; Hashem, Shatha … - 2020

Persistent link: https://www.econbiz.de/10012321924