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Modelling persistent stationary processes in continuous time

Jeong, Minsoo - In: Economic modelling 109 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013348235

Optimal reciprocal reinsurance under VaR or TVaR constraint

Huang, Hung-Hsi; Wang, Ching-Ping - In: Asia-Pacific journal of risk and insurance : APJRI 16 (2022) 2, pp. 187-218

Persistent link: https://www.econbiz.de/10013384484

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013279729

Predictive performance of mixed-frequency nowcasting and forecasting models (with application to Philippine inflation and GDP growth)

Mariano, Roberto S.; Özmucur, Süleyman - In: Journal of quantitative economics 19 (2021), pp. 383-400

Persistent link: https://www.econbiz.de/10013441733

VaR as a risk management framework for the spot and futures tanker markets

Basdekis, Charalampos; Christopoulos, Apostolos G.; … - In: Operational research : an international journal 22 (2022) 4, pp. 4287-4352

Persistent link: https://www.econbiz.de/10013445551

Time-varying credibility, anchoring and the Fed's inflation target

Diegel, Max - 2022

This paper analyzes the time-varying credibility of the Fed's inflation target in an empirical macro model with asymmetric information, where the public has to learn about the actual inflation target from the Fed's interest rate policy. To capture the evolving communication strategy of the Fed,...

Persistent link: https://www.econbiz.de/10013472154

Stock prices, changes in liquidity, and liquidity premia

Lee, Hyun-Tak; Lee, Bong-soo; Jang, Bong-Gyu - In: Finance research letters 48 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013461767

Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP

Iacopini, Matteo; Poon, Aubrey; Rossini, Luca; Zhu, Dan - In: Journal of economic dynamics & control 157 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014495378

Do monetary policy shocks have asymmetric effects on stock market?

Song, Victor; Xu, Libo - In: Open economies review 34 (2023) 5, pp. 1063-1078

Persistent link: https://www.econbiz.de/10014443824

Combining forecasts? : keep it simple

Lis, Szymon; Chlebus, Marcin - In: Central European economic journal 10 (2023) 57, pp. 343-370

This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR …. Results show individual models excel in forecasting VaR at a 0.975 confidence level, while combined methods outperform at 0 … methods such as mean or lowest VaR yield optimal results, highlighting their efficacy. This study contributes by offering a …

Persistent link: https://www.econbiz.de/10014445140