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Risk and uncertainty
16 references·0 citing·32 second hop
Risk and uncertainty (2016)Risk and uncertaintyA Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…CAViaR (2004)CAViaRRisk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Estimating Vector Autoregressions with Panel Data (1988)Estimating Vector Autoregress…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Biases in Dynamic Models with Fixed Effects (1981)The analysis of household surveys (1997)Finance, inequality and the poor (2007)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2007)A long memory property of stock market returns and a new model (1993)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Multifactor Explanations of Asset Pricing Anomalies (1996)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988Estimating Vector Autoregressions with Panel Data4,242 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004CAViaR2,210 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2003

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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
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