Bayesian VAR forecasts, survey information, and structural change in the euro area
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DOI: 10.1016/j.ijforecast.2020.11.001
Abstract: Abstract We incorporate external information extracted from the European Central Bank’s Survey of Professional Forecasters into the predictions of a Bayesian VAR using entropic tilting and soft conditioning. The resulting conditional forecasts significantly improve the… read more here.
Keywords: var forecasts; survey information; bayesian var; survey ... See more keywords
The impact of liquidity on portfolio value-at-risk forecasts
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DOI: 10.1080/00036846.2019.1644442
Abstract: ABSTRACT Historical crisis events have highlighted the insufficiency of Value-at-Risk (VaR) as a measure of market risk because such metric does not take liquidity into account. Unlike previous studies analyzing with only a single asset,… read more here.
Keywords: liquidity; value risk; impact liquidity; portfolio ... See more keywords