Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091070 | Journal of Banking & Finance | 2010 | 13 Pages |
Abstract
We assume that models are obtained by usual econometric methods, which allows us to distinguish between estimation risk and misspecification risk. We discuss an additional source of risk which we refer to as identification risk. By way of illustration, we carry out calculations for equity and FX data sets. In both markets, estimation risk and misspecification risk together explain about half of the multiplication factors employed by the Bank for International Settlements (BIS).
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jeroen Kerkhof, Bertrand Melenberg, Hans Schumacher,