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DTSTART:20230326T010000
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DTSTART:20231029T010000
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DTSTART;TZID=Europe/Helsinki:20230323T103000
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SUMMARY:CANCELLED - Christian BROWNLEES (Universitat Pompeu Fabra) "Backtesting Global Growth-at-Risk"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10.30 am\nDate: 23th of March 2023\nRoom 3001 \nChristian BROWNLEES (Universitat Pompeu Fabra) “Backtesting Global Growth-at-Risk” \nAbstract : We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP\, including the national financial conditions index. The backtesting results show that quantile regression and GARCH forecasts have a similar performance. If anything\, our evidence suggests that standard volatility models such as the GARCH(1\,1) are more accurate. \nJoint work : Andre M.B. Souza (ESADE). \n\nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/christian-brownlees-universitat-pompeu-fabra-backtesting-global-growth-at-risk/
CATEGORIES:Finance-Insurance,Financial Econometrics
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