Term structure of risk under alternative econometric specifications

DOI10.1016/J.JECONOM.2005.01.033zbMath1337.91145OpenAlexW3123373690MaRDI QIDQ292020

Massimo Guidolin, Allan G. Timmermann

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://research.stlouisfed.org/wp/2005/2005-001.pdf

zbMATH Keywords

simulation methodsnonlinear econometric modelsterm structure of risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (9)

Moments, shocks and spillovers in Markov-switching VAR models ⋮ Spatial risk measures and applications to max-stable processes ⋮ Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model ⋮ Likelihood-based scoring rules for comparing density forecasts in tails ⋮ Asset allocation under multivariate regime switching ⋮ Investor preferences and portfolio selection: is diversification an appropriate strategy? ⋮ Value-at-risk via mixture distributions reconsidered ⋮ Estimation of multiple period expected shortfall and median shortfall for risk management ⋮ VaR limits for pension funds: an evaluation

Cites Work

• Unnamed Item
• Rational transfer function approximation (with discussion)
• Strategic asset allocation
• Alternative models for stock price dynamics.
• Information criteria for selecting possibly misspecified parametric models
• Moments of Markov switching models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Non-Linear Value-at-Risk *
• The Stationary Bootstrap

This page was built for publication: Term structure of risk under alternative econometric specifications