Financial conditions and macroeconomic tail risk: time series perspective

Cimini, Domitilla (A.A. 2021/2022) Financial conditions and macroeconomic tail risk: time series perspective. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 67. [Master's Degree Thesis]

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Abstract/Index

Model specification. Growth-at-risk. Parametric approach. Semi-parametric approach. Backtesting. Data. Data collection. Empirical hypothesis. Empirical results. In-sample analysis. In sample backtesting. Out-of-sample analysis. Out-of-sample backtesting. Robustness analysis. GDP growth and VIX.

References

Bibliografia: pp. 64-66.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Carlini, Federico Carlo Eugenio
Academic Year: 2021/2022
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 02 Aug 2023 14:16
Last Modified: 02 Aug 2023 14:16
URI: https://tesi.luiss.it/id/eprint/36226

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