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  • Article

Scenario Generation for Long Run Interest Rate Risk Assessment

By: Robert F. Engle, Guillaume Roussellet and Emil N. Siriwardane
We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor... View Details
Keywords: Forecasting; Stress Testing; Interest Rates; Forecasting and Prediction; Risk Management; United States
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  • Article

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

By: K. A. Froot
Keywords: Econometrics; Panel Estimation; Autocorrelation; Heteroskedasticity; Mathematical Methods; Economics
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