- Tytuł:
- MIDAS models in banking sector – systemic risk comparison
- Autorzy:
-
Gurgul, H.
Mestel, R.
Syrek, R. - Powiązania:
- https://bibliotekanauki.pl/articles/1201240.pdf
- Data publikacji:
- 2017
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
systemic risk measures
GARCH-MIDAS
DCC-MIDAS - Opis:
- This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in modelling conditional volatilities. The long-run component is modeled using realized volatility. The conditional correlation, second step of modelling, is described with DCC-MIDAS model. This is novel approach in respect to classical TARCH and DCC modelling. Whereas the information contained in macroeconomic variables, if available, can help to predict short and long-term components, this is the promising option in improvement of systemic risk assessment.
- Źródło:
-
Managerial Economics; 2017, 18, 2; 165-181
1898-1143 - Pojawia się w:
- Managerial Economics
- Dostawca treści:
- Biblioteka Nauki
Artykuł