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Parameter risk in time-series mortality forecasts
Kleinow, Torsten; Richards, Stephen J. - In: Scandinavian actuarial journal (2017) 9, pp. 804-828
Persistent link: https://www.econbiz.de/10011848682
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10013075857
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Measuring Us Uncertainty
Kontana, Dimitra; Fountas, Stilianos - 2022
We introduce a new US uncertainty index which is more sensitive to consumer spending and therefore reflects households’ decisions. We find evidence that macroeconomic uncertainty shocks impose negative, statistically significant, and long-lasting effects on consumption, income and financial...
Persistent link: https://www.econbiz.de/10014239641
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …
Persistent link: https://www.econbiz.de/10013214142
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Measures of uncertainty in economics
Bahmani-Oskooee, Mohsen; Hegerty, Scott W. - In: Economics of innovation, incentives and uncertainty, (pp. 141-153). 2012
Persistent link: https://www.econbiz.de/10009731074
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The Spectral Stress VaR (SSVaR)
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - 2015
Persistent link: https://www.econbiz.de/10011635436
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Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi - In: Journal of mathematical finance 8 (2018) 1, pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10012459206