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Citations for "Term Structure of Risk Under Alternative Econometric Specifications"

by Guidolin, Massimo & Timmermann, Allan G

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  1. Tatsuyoshi Okimoto, 2014. "Asymmetric Increasing Trends in Dependence in International Equity Markets," CAMA Working Papers 2014-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Research Papers EI 2011-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  5. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
  6. Solange Berstein & Rómulo Chumacero, 2008. "VaR Limits for Pension Funds: An Evaluation," Working Papers 26, Superintendencia de Pensiones, revised May 2008.
  7. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
  8. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
  9. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  10. Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008. "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - Département des Sciences Economiques) 2008011, Université catholique de Louvain, Département des Sciences Economiques.
  11. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
  12. Bec, Frédérique & Gollier, Christian, 2014. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," IDEI Working Papers 835, Institut d'Économie Industrielle (IDEI), Toulouse.
  13. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  14. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
  15. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  16. Cees Diks & Valentyn Panchenko & Dick Van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
  17. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  18. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  19. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  20. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
  21. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  22. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  23. Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  24. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
  25. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  26. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis.
  27. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
  28. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  29. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
  30. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.