Results 11 to 20 of about 98,361 (266)
Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
Discrete Dynamics in Nature and Society, 2022 With increasing extremal risk, VaR has been becoming a popular methodology because it is easy to interpret and calculate. For comparing the performance of extant VaR models, this paper makes an empirical analysis of five VaR models: simple VaR, VaR based
Yuling Wang, Yunshuang Xiang, Huan Zhang
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Estimating Multi-Country VAR Models [PDF]
SSRN Electronic Journal, 2006 This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients.
Fabio Canova, Matteo Ciccarelli
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Value at risk estimation and validation in the Serbian capital market in the period 2005-2015 [PDF]
Bankarstvo, 2016 The global financial crisis pointed at the significant weaknesses of the existing models for measuring risk in financial markets. In particular, there is a need for improvement and further development of the financial risk models in the capital markets ...
Jeremić Zoran +2 more
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Infinite-dimensional VARs and factor models [PDF]
Journal of Econometrics, 2009 This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity.
Alexander Chudik, M. Hashem Pesaran
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Modelling the downside risk potential of mutual fund returns
Cogent Economics & Finance, 2022 Investors are becoming more sensitive about returns and losses, especially when the investments are exposed to downside risk potential in the financial markets.
Sunitha Kumaran
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Bayesian forecast combination for VAR models☆ [PDF]
SSRN Electronic Journal, 2007 We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty regarding which endogenous variables to include in the model.
Andersson, Michael K, Karlsson, Sune
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An evaluation of the forecast performance of DSGE and VAR Models: The case of a developing country
Business Review, 2019 This paper estimates a DSGE model and three versions of VAR models (VARX, BVARX and BVAR) to analyze forecasting performance of these models in context of Pakistan.
Shahzad Ahmad, Adnan Haider
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Estimating of value at risk and expected shortfall by using conditional extreme value approach in Tehran Securities Exchange [PDF]
تحقیقات مالی, 2016 This paper investigates the relative performance of Value-at-Risk (VaR) and expected shortfall (ES) models using daily overall index data from TSE for a period of 8 years from 2008 to 2016.
Alireza Saranj, Marziyeh Nourahmadii
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Government Expenditure in Maluku: Autoregressive Vector Analysis
JIET (Jurnal Ilmu Ekonomi Terapan), 2019 In 1999 Indonesian government implementing the law of regional autonomy, direct impact to this implementation is every province has to manage the economic development of each province.
Jacobus Cliff Diky Rijoly
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An explorative study of tourism time series: Evidence from Slovenia and Croatia
Croatian Review of Economic, Business and Social Statistics, 2019 This paper investigates the long-term cointegration between tourism prices and domestic inflation in Croatia and Slovenia. Those two countries share a common economic history and statistical crispness in the 20th century, the time when Econometrics was ...
Gričar Sergej, Baldigara Tea
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