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MIDAS models in banking sector – systemic risk comparison
Managerial Economics
View Archive Info| Field | Value | |
| Title |
MIDAS models in banking sector – systemic risk comparison
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| Creator |
Gurgul, Henryk
Mestel, Roland Syrek, Robert |
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| Subject |
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| Description |
This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in modelling conditional volatilities. The long-run component is modeled using realized volatility. The conditional correlation, second step of modelling, is described with DCC-MIDAS model. This is novel approach in respect to classical TARCH and DCC modelling. Whereas the information contained in macroeconomic variables, if available, can help to predict short and long-term components, this is the promising option in improvement of systemic risk assessment.
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| Publisher |
AGH University of Science and Technology Press.
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| Contributor |
—
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| Date |
2018-03-27
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journals.agh.edu.pl/manage/article/view/2837
10.7494/manage.2017.18.2.165 |
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| Source |
Managerial Economics; Vol 18, No 2 (2017); 165
1898-1143 |
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| Language |
eng
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| Relation |
https://journals.agh.edu.pl/manage/article/view/2837/1989
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| Rights |
Copyright (c) 2018 Managerial Economics
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