Moments, Shocks and Spillovers in Markov-switching VAR Models

Autor: Erik Kole, Dick van Dijk

Publikováno v: Journal of Econometrics. Elsevier

To investigate how economies, financial markets or institutions can deal with stress, we often analyze the effects of shocks conditional on being in a recession or a bear market. MSVAR models are perfectly suited for such analyses because they combin

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d9a7e9122f0cbff7c2719f55694efbf
https://doi.org/10.2139/ssrn.3924951

Forecasting Value-at-Risk under temporal and portfolio aggregation

Autor: Dick van Dijk, Thijs Markwat, Erik Kole, Anne Opschoor

Publikováno v: Journal of Financial Econometrics, 15(4), 649-677. Oxford University Press
Kole, E, Markwat, T, Opschoor, A & Van Dijk, D 2017, ' Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* ', Journal of Financial Econometrics, vol. 15, no. 4, pp. 649-677 . https://doi.org/10.1093/jjfinec/nbx019

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of 10 trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constru

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ba2f4ea1b897d86a9c524d47d62ae72
https://pure.eur.nl/en/publications/8168937b-53d8-40b8-877b-de3c22390891

Markov Switching Models: An Example for a Stock Market Index

Autor: Erik Kole

Publikováno v: SSRN Electronic Journal.

In this document, I discuss in detail how to estimate Markov regime switching models with an example based on a US stock market index.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1ac6017ca2ade7ef4911d8b576cc220f
https://doi.org/10.2139/ssrn.3398954

Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance

Autor: Reza Brink, Erik Kole

Publikováno v: SSRN Electronic Journal.

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1cb11e4c53219fe77340913a6d341055
https://doi.org/10.2139/ssrn.3373598

Specification Testing in Hawkes Models

Autor: Francine Gresnigt, Erik Kole, Philip Hans Franses

Publikováno v: Journal of Financial Econometrics, 15(1), 139-171. Oxford University Press

We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariat

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8a0f898bf5791cf39f5ce54d03c78c09
https://doi.org/10.1093/jjfinec/nbw011