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A new measure of cross-sectional risk and its empirical implications for portfolio risk management

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  • Galluccio, Stefano
  • Roncoroni, Andrea

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  • Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
    • Handle: RePEc:eee:jbfina:v:30:y:2006:i:8:p:2387-2408
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    References listed on IDEAS

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    1. Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-349, August.
    2. Elton, Edwin J & Gruber, Martin J & Michaely, Roni, 1990. "The Structure of Spot Rates and Immunization," Journal of Finance, American Finance Association, vol. 45(2), pages 629-642, June.
    3. Lekkos, Ilias, 2001. "Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1427-1445, August.
    4. Bierwag, Gerald O. & Fooladi, Iraj & Roberts, Gordon S., 1993. "Designing an immunized portfolio: Is M-squared the key?," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1147-1170, December.
    5. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    6. Christophe Pérignon & Christophe Villa, 2006. "Sources of Time Variation in the Covariance Matrix of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1535-1550, May.
    7. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    8. Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
    9. Soto, Gloria M., 2001. "Immunization derived from a polynomial duration vector in the Spanish bond market," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1037-1057, June.
    10. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. "Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
    11. Giovanni Barone‐Adesi & Kostas Giannopoulos & Les Vosper, 2002. "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)," European Financial Management, European Financial Management Association, vol. 8(1), pages 31-58, March.
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    Cited by:

    1. Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
    2. Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
    3. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.

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