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ArticleTerm structure of risk under alternative econometric specifications

Massimo Guidolin2005

Article2005

Term structure of risk under alternative econometric specifications

Massimo Guidolin · Allan Timmermann

100 citations·0/0 files stored·Journal of Econometrics

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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 1997How Taxing is Corruption on International Investors?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

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2010Is Regime Switching in Stock Returns Important in Portfolio Decisions?2011Long-Term Skewness and Systemic Risk 2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range 2007Investing for the Long-run in European Real Estate 2019Doing well while doing good: The case of Islamic and sustainability equity investing 2016How to Identify and Forecast Bull and Bear Markets?

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Year2005

Typearticle

Published2005-03-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations100

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2005.01.033

openalex_workW3123373690

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