[Forum SIS] Seminario Prof. Richard Gerlach - DISES (Università di Salerno) - 18/9/2019 ore 15.00

[Giuseppe STORTI]

*************************************

Annuncio Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES
<http://www.dises.unisa.it/index>

*Università degli Studi di Salerno*

*************************************

*18 Settembre 2019 ore 15.00, Sala dei Consigli DiSES*

Professor Richard Gerlach

Discipline of Business Analytics

Business School, The University of Sydney | www.sydney.edu.au



*Semi-parametric financial tail risk forecasting*


*Richard Gerlach* (The University of Sydney); *Chao Wang* - The University
of Sydney (Australia)


*Abstract:* The finding of a class of loss functions that are elicitable
for the well-known financial tail risk measures Value at Risk and Expected
Shortfall (ES), considered jointly, has allowed some recent advances in the
field of semi-parametric tail risk modelling and forecasting, as well as in
the formal assessment of those ES forecasts. The aim is to present some of
these developments and build upon them through the incorporation of
realized measures, the addition of measurement equations and through
allowing separate dynamics for the ES equation. Evidence is shown that a
Bayesian approach to estimation and forecasting can yield favorable results
and an application to financial market returns illustrates that the recent
developments, especially when realized measures are included in the models,
can generate improvements in the accuracy of forecasts of financial tail
risk.

*Keywords:* Bayesian methods, financial econometrics, financial risk,
forecasting, time series



*Laboratorio di Ricerca e Formazione avanzata in Statistica* STATLAB
<http://www.statlab.unisa.it/index>

Università degli Studi di Salerno

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132



-- 
--------------------------------------------------------
Giuseppe Storti
Professor of Economic Statistics
Dept. of Economics and Statistics (DISES)
University of Salerno - Italy
Tel. 0039 089 962212
 https://docenti.unisa.it/005005/home
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20190916/187e543b/attachment.html>