Event risk is the risk that a portfolio’s value can be affected by large jumps in market prices. Event risk is synonymous with “fat tails” or “jump risk”. Event risk is one component of “specific risk,” defined by bank supervisors as the component of market risk not driven by market-wide shocks. Standard Value-at-Risk (VaR) models used by banks to measure market risk do not do a good job of cap...

Vector autoregressions (VAR) are extensively used to model economic time series. The large number of parameters is the main diicult with VAR models, however. To overcome this, Litterman (1986) suggests to use a Bayesian strategy to estimate the VAR, equation by equation, where, a priori, the lags have decreasing importance (known as Litterman Prior). In this paper, a VAR model is analyzed throu...

when the past observations are correlated with future observations and their correlation is significant, the time series has long memory. in this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated. the basic model is bekk (1, 1) and fbekk (1,d,1), model extended long-run memory parameter (d) is considered and estimated. furthermore in this paper p...

This paper investigates the relationship between macroeconomic instability and private investment of the Iranian economy. The study uses a trivariate VAR(2)-GARCH(1,1)-in-Mean with diagonal BEKK approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. Moreover, Bounds testing approach to level relationship applied to investigate the long...

Com a utilização de dados diários do retorno das ações, da cotação Dólar e índice Ibovespa, durante o período 2010 até 2020, este estudo apresenta os resultados dos transbordamentos volatilidades no mercado ações Brasil, com correlações condicionais. A construção retornos representativos pela Análise Componentes Principais, tradicional robusto se mostraram mais adequadas em relação à Principais...

Frá síðustu aldamótum hefur íslenskt samfélag tekið hröðum breytingum og hlutfall íbúa sem teljast innflytjendur aukist úr 2,6% árið 2000 í 15% 2020 (Hagstofa Íslands, e.d.). Markmið rannsóknarinnar hér er greint frá var að öðlast skilning á upplifun, samskiptum félagslegri þátttöku nemenda af erlendum uppruna íslenskum grunnskólum með það leiðarljósi koma betur til móts við náms- félagslegar þ...

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is UK inflation and we utilize monthly data from 1969-2003. The RS-VAR and the RNN perform approximately on par over both monthly a...

A four-dimensional ensemble variational (4D-EnVar) data assimilation has been developed for a limited area model. The integration of tangent linear and adjoint models, as applied in standard 4D-Var, is replaced with the use of an ensemble of non-linear model states to estimate fourdimensional background error covariances over the assimilation time window. The computational costs for 4D-En-Var a...

Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing amongst alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India’s NSE-50 index, at the 95% and 99% l...