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Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management
16 references·0 citing·27 second hop
Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management (2005)Model Averaging and Value-at-Risk Based E…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Model uncertainty in cross‐country growth regressions (2001)Model uncertainty in cross‐co…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAsymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…5 Stochastic volatility (1996)5 Stochastic volatilityTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Chapter 4 Forecast Combinations (2006)Handbook of Economic Forecasting (2013)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 19965 Stochastic volatility1,189 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited

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Model uncertainty in cross‐country growth regressions
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