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

Lyocell Fibre Production Using NMMO – A Simulation-based Techno-Economic Analysis

Autor: Eemeli Hytönen, Lotta Sorsamäki, Erik Kolehmainen, Michael Sturm, Niklas von Weymarn

Publikováno v: BioResources, Vol 18, Iss 3, Pp 6384-6411 (2023)

The demand for man-made cellulosic fibres is expected to grow in the future. One commercially-available concept to supply fibres is Lyocell manufacturing from dissolving wood pulps using N-Methylmorpholine N-oxide (NMMO) as the solvent. The literatur

Externí odkaz: https://doaj.org/article/75fa752916614322a841b12c8ed744e3