The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run horizons is considered. The method which makes possible to generate VaR estimates on longer horizons is suggested. The VaR estimation is based ...

Can recessions, or serious turning points in general, be predicted? Or do forecasters tend to assume that the future will continue as an extension of the near past. Theoretical evidence and practical observations tend to ...

Those of us in the field of forecasting are facing a serious dilemma. On the one hand we know that all forms of forecasting must be based on historical data, on the other hand we are well aware of a plethora of empirical ...

Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

The aim of this paper is to investigate the conditions under which public investment can be allocated to the infrastructure in material and non-material capital so as to have a positive effect on regional development and ...