An Evaluation Framework for Alternative VaR Models

2003 ◽  
Author(s):  
Christian C.P. Wolff ◽  
Dennis Bams ◽  
Thorsten Lehnert
Keyword(s):  
Evaluation Framework ◽  
Var Models

An Evaluation Framework for Alternative VaR Models

2002 ◽  
Author(s):  
Dennis Bams ◽  
Thorsten Lehnert ◽  
Christian C.P. Wolff
Keyword(s):  
Evaluation Framework ◽  
Var Models

An evaluation framework for alternative VaR-models

2005 ◽  
Vol 24 (6) ◽  
pp. 944-958 ◽  
Author(s):  
Dennis Bams ◽  
Thorsten Lehnert ◽  
Christian C.P. Wolff
Keyword(s):  
Evaluation Framework ◽  
Var Models

Analysis of the Bank of Russia information policy

2017 ◽  
pp. 88-110 ◽  
Author(s):  
S. Drobyshevsky ◽  
P. Trunin ◽  
A. Bozhechkova ◽  
E. Gorunov ◽  
D. Petrova
Keyword(s):  
Interest Rate ◽  
Nonparametric Tests ◽  
Information Policy ◽  
Var Models ◽  
New Approach ◽  
Interest Rate Policy ◽  
News Reports ◽  
Internet Users ◽  
Rate Policy ◽  
Exchange Markets

The article investigates the Bank of Russia information policy using a new approach to measuring information effects on Russian data, including the analysis of the tonality of news reports, as well as internet users’ queries on Google. The efficiency of regulator’s information signals is studied using EGARCH-, VAR- models, as well as nonparametric tests. The authors conclude that the regulator communicates effectively in terms of the predictability of interest rate policy, the degree to which information signals affect the money and foreign exchange markets.

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