منابع مشابه
Microeconomic Origins of Macroeconomic Tail Risks
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A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility specifications to forecast tail risk in four international markets, two exchange rates and one individual asset series, over a four year forecast period that ...
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This paper aims to explain the macroeconomic volatility due to microeconomic shocks to one or several sectors, recognizing the non-symmetrical relation in the interaction among the Ecuadorian economic sectors. To grasp the economic structure of this emerging economy, a statistical analysis of network data is applied to the respective input-output matrix of Ecuador from 1975 until 2012. We find ...
متن کاملRetroactive Liability and the Insurability of Long-Tail Risks
This article focuses on a specific aspect of liability insurance that arises out of the latent nature of certain insured events. In particular, it is concerned with the fact that in the interval between the original tort and the claim for damages the standard of care applied by the courts may change. This is the problem of retroactive liability. The article begins by briefly reviewing the legal...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2016
ISSN: 0883-7252
DOI: 10.1002/jae.2509