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The impact of overconfidence on investors' decisions

Adel, Boubaker; Mariem, Talbi - In: Business and Economic Research : BER 3 (2013) 2, pp. 53-75

Persistent link: https://www.econbiz.de/10010376699

How good are out of sample forecasting tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - 2014

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on … improve on VAR forecasts. …

Persistent link: https://www.econbiz.de/10010380944

Credit risk calibration based on CDS spreads

Chao, Shih-kang; Härdle, Wolfgang; Thu, Hien Pham - 2014

demonstrate an improved performance in CDS spread VaR calculation. The enhancement is more significant in pre-crisis period but …

Persistent link: https://www.econbiz.de/10010354176

Forecasting with a DSGE model of a small open economy within the Monetary Union

Marcellino, Massimiliano; Rychalovska, Yuliya - In: Journal of forecasting 33 (2014) 5, pp. 315-338

Persistent link: https://www.econbiz.de/10010425650

Multivariate VaRs for operational risk capital computation : a vine structure approach

Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170

Persistent link: https://www.econbiz.de/10010385914

Growth expectations, undue optimism, and short-run fluctuations : conference paper

Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013 - Preliminary and incomplete

-run restrictions on a VAR model to disentangle the effects of both shocks. We find that optimism shocks - in line with theory - reduce …

Persistent link: https://www.econbiz.de/10010342128

Destabilizing properties of a VaR or probability-of-ruin constraint when variances may be infinite

Eisenberg, Laurence K. - In: Journal of financial stability 7 (2011) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10009272316

Three Essays on the Econometrics of Survey Expectations Data

Mokinski, Frieder - 2014

This dissertation consists of three essays that have a common focus on the econometrics of survey expectations data. Such data play a crucial role in economics. First, as most decisions depend on expectations, these data facilitate a better understanding of economic dynamics. Second, survey data...

Persistent link: https://www.econbiz.de/10010464269

Uninsurable risk and the determination of real interest rates : an investigation using UK indexed bonds

Barr, David G.; Basu, Parantap; Wada, Kenji - 2012

Persistent link: https://www.econbiz.de/10010465991

The pledge rate research of Copper and Zinc inventory portfolio based on copula-var method

Zhou, Li; Dong, Jing - In: Journal of investment and management : JIM 3 (2014) 2, pp. 37-41

Persistent link: https://www.econbiz.de/10010494115

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