Article ID Journal Published Year Pages File Type
5091070 Journal of Banking & Finance 2010 13 Pages PDF
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
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