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DTSTART;TZID=Europe/Helsinki:20231012T100000
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SUMMARY:Christian BROWNLEES (Universitat Pompeu Fabra) "Backtesting Global Growth-at-Risk"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10.00 am\nDate: 12th of October 2023\nRoom 3001 + Zoom \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 with Andre B.M. Souza (ESADE Business School) \n\nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST and ILB \n
URL:https://crest.science/event/christian-brownlees-universitat-pompeu-fabra-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics
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