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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010331352
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010237661
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Evaluation and Combination of Conditional Quantile Forecasts
Giacomini, Raffaella; Komunjer, Ivana - 2002
'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed … GMM techniques appropriately modified to accommodate non-differentiable criterion functions. Further, our theoretical … encompassing test, which links our approach to Christoffersen's (1998)'conditional coverage' test for evaluation of quantile …
Persistent link: https://www.econbiz.de/10014113643
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010985133
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Evaluation and Combination of Conditional Quantile Forecasts
Giacomini, Raffaella; Komunjer, Ivana - Department of Economics, University of California-San … - 2002
'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed … GMM techniques appropriately modified to accommodate non-differentiable criterion functions. Further, our theoretical … encompassing test, which links our approach to Christoffersen's (1998) 'conditional coverage' test for evaluation of quantile …
Persistent link: https://www.econbiz.de/10010536374
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A statistical test for forecast evaluation under a discrete loss function
Novales, Alfonso; Eransus, Francisco Javier - Facultad de Ciencias Económicas y Empresariales, … - 2014
We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testing, or use tests statistics based just on the...
Persistent link: https://www.econbiz.de/10010812481
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Smooth transitions in a UK consumption function
Eliasson, Ann-Charlotte - Economics Institute for Research (SIR), … - 1999
This paper reconsiders the equilibrium correction model of nondurable consumption in the UK by Davidson et al. (1978), denoted DHSY. The DHSY model fails outside the original observation period and several studies claim that this is due to neglected nonlinearities or time-varying parameters....
Persistent link: https://www.econbiz.de/10005649395
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Properties of Optimal Forecasts
Timmermann, Allan; Patton, Andrew J. - Econometric Society - 2004
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...
Persistent link: https://www.econbiz.de/10005328966
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Testable Implications of Forecast Optimality
Patton, Andrew J.; Timmermann, Allan - Suntory and Toyota International Centres for Economics … - 2005
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...
Persistent link: https://www.econbiz.de/10005151153
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Testable implications of forecast optimality
Patton, Andrew J.; Timmermann, Allan - London School of Economics (LSE) - 2005
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...
Persistent link: https://www.econbiz.de/10010744999