Term structure of risk under alternative econometric specifications

DOI10.1016/J.JECONOM.2005.01.033MaRDI QIDQ292020zbMATH OpenOpenAlexFDO

Authors Massimo Guidolin, Allan 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)

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Cites work

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

Cited in

(12)

• Alternative modeling for long term risk
• Likelihood-based scoring rules for comparing density forecasts in tails
• Index-exciting CAViaR: a new empirical time-varying risk model
• Asset allocation under multivariate regime switching
• Spatial risk measures and applications to max-stable processes
• Investor preferences and portfolio selection: is diversification an appropriate strategy?
• Simulation and evaluation of the distribution of interest rate risk
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Value-at-risk via mixture distributions reconsidered
• Moments, shocks and spillovers in Markov-switching VAR models
• Estimation of multiple period expected shortfall and median shortfall for risk management
• VaR limits for pension funds: an evaluation

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