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Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

Persistent link: https://www.econbiz.de/10013316571

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc - 2013

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...

Persistent link: https://www.econbiz.de/10013093522

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Persistent link: https://www.econbiz.de/10013094817

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10013315817

Oil Price Uncertainty and Sectoral Stock Returns in China : A Time-Varying Approach

Caporale, Guglielmo Maria - 2014

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

Persistent link: https://www.econbiz.de/10013050468

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10013153425

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we … find a significant negative correlation between a twelve-months moving average p-values of the test and excess returns of …

Persistent link: https://www.econbiz.de/10012955752