Christoph Schleicher

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The authors examine evidence of longand short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions. They find that the seven sectors under consideration contain(More)
This paper models and estimates the Beveridge-Nelson decomposition of multivariate time series in an unobserved components framework. This is an alternative to standard approaches based on VAR and VECMmodels. The appeal of this method lies in its transparency and structural character. The basic model parsimoniously nests a large set of common trend and(More)
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed(More)
  • Thomas A. Lubik, Paolo Surico, +8 authors Shaun Vahey
  • 2006
This paper re-considers the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the historical shift in the Federal Reserve’s policy rule and is capable of generating the decline in the volatility of(More)
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over(More)
We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a simplified sterling effective exchange rate index (ERI). Our results(More)
Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a(More)
When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics, one is faced with the problem of maturity dependence, given that option contracts have a fixed expiry date. Therefore, estimates from consecutive days are not directly comparable. Further, we can only obtain implied RNDs for a limited set of expiration dates.(More)
This thesis consists of three essays: Essay Nr. 1 (Kolmogorov-Wiener Filters for Finite Time-Series) describes a framework to implement optimally linear filters in the context of finite time series. The filters under consideration have the property that they minimize the mean squared error compared to some ideal hypothetical filter. It is shown in examples(More)