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Model averaging in risk management with an application to futures marketsstar · Study

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ArticleModel averaging in risk management with an application to futures marketsstar

M. Hashem Pesaran2009

Article2009

Model averaging in risk management with an application to futures marketsstar

M. Hashem Pesaran · Christoph Schleicher · Paolo Zaffaroni

74 citations·0/0 files stored·IRIS Research product catalog (Sapienza University of Rome)

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models

Cited by

2011Growth Empirics without Parameters 2012Fuzzy logic, trading uncertainty and technical trading 2010Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash 2020Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations 2020Model averaging estimation for conditional volatility models with an application to stock market volatility forecast

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2005Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Managementpreprint · 28 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 25 shared references 2005Volatility Forecastingreport · 22 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 21 shared references 2003Multivariate GARCH Models: A Surveypreprint · 16 shared references 2005Volatility Transmission Models: A Surveypreprint · 16 shared references

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Year2009

Typearticle

Published2009-01-01

VenueIRIS Research product catalog (Sapienza University of Rome)

Languageen

Citations74

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2008.08.001

openalex_workW3124629785

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