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)

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Cites Work

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• 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

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