Term structure of risk under alternative econometric specifications

DOI10.1016/J.JECONOM.2005.01.033zbMATH Open1337.91145OpenAlexW3123373690MaRDI QIDQ292020FDOQ292020

Allan Timmermann, Massimo Guidolin

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

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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)

Cites Work

• Alternative models for stock price dynamics.
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• The Stationary Bootstrap
• Title not available (Why is that?)
• Strategic asset allocation
• Information criteria for selecting possibly misspecified parametric models
• Non-Linear Value-at-Risk *
• Rational transfer function approximation (with discussion)
• Moments of Markov switching models

Cited In (10)

• 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?
• Spatial risk measures and applications to max-stable processes
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Value-at-risk via mixture distributions reconsidered
• Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
• 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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