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Model averaging in risk management with an application to futures marketsstar
16 references·5 citing·27 second hop
Model averaging in risk management with an application to futures marketsstar (2009)Model averaging in risk management with a…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …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…Combining forecasts: A review and annotated bibliography (1989)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…Model averaging estimation for conditional volatility models with an application to stock market volatility forecast (2020)Model averaging estimation fo…Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020)Demystifying Time‐Series Mome…Fuzzy logic, trading uncertainty and technical trading (2012)Fuzzy logic, trading uncertai…Growth Empirics without Parameters (2011)Growth Empirics without Param…Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash (2010)Conditional volatility and 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)Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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 Cross‐Section of Volatility and Expected Returns (2006)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)
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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
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited

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  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • Cited by

    • 2011Growth Empirics without Parameters109 cited
    • 2012Fuzzy logic, trading uncertainty and technical trading72 cited
    • 2010Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash63 cited
    • 2020Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations42 cited
    • 2020Model averaging estimation for conditional volatility models with an application to stock market volatility forecast28 cited