Browsing by Author "Xu, Xiu"

Now showing items 1-3 of 3

2015-04-22Diskussionspapier

An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China

Niu, Linlin; Xu, Xiu; Chen, Ying

We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach ...
2016-12-29Diskussionspapier

Dynamic credit default swaps curves in a network topology

Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl

Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape ...
2015-12-03Diskussionspapier

lCARE – localizing Conditional AutoRegressive Expectiles

Xu, Xiu; Mihoci, Andrija; Härdle, Wolfgang Karl

We account for time-varying parameters in the conditional expectile based value at risk (EVaR) model. EVaR appears more sensitive to the magnitude of portfolio losses compared to the quantile-based Value at Risk (QVaR), ...