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Term Structure of Risk Under Alternative Econometric Specifications · Study

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PreprintTerm Structure of Risk Under Alternative Econometric Specifications

Massimo Guidolin2004

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Preprintgreen2004

Term Structure of Risk Under Alternative Econometric Specifications

Massimo Guidolin · Allan Timmermann

44 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1997An Overview of Value at Risk 2003Alternative models for stock price dynamics 2002Regime Switches in Interest Rates 1997Strategic asset allocation

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2013Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management 2011Regime Changes and Financial Markets 2012Financial Risk Measurement for Financial Risk Management 2005Predictive Density Evaluation 2004Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

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2005Term structure of risk under alternative econometric specificationsarticle · 16 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 8 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 8 shared references 2005Volatility Forecastingreport · 6 shared references 2004Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returnsarticle · 5 shared references 2008Glossary to ARCH (GARCH)preprint · 5 shared references

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Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.539842

openalex_workW2129743166

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