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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

Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach

Rankovic, Vladimir - 2016

Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework … (APF), we propose a novel mean-VaR optimization method where VaR is estimated using a univariate Generalized AutoRegressive …

Persistent link: https://www.econbiz.de/10012997323

Forecasting Tail Risks

De Nicolo, Gianni - 2015

(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs …

Persistent link: https://www.econbiz.de/10013024363

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

Assets Returns Volatility and Investment Horizon : The French Case

Bec, Frédérique - 2009

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

Persistent link: https://www.econbiz.de/10013160520

Wealth Taxation, Non-Listed Firms, and the Risk of Entrepreneurial Investment

Schindler, Dirk - 2017

How to incorporate hard-to-measure assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk-taking behavior and welfare when investors do not only have the standard portfolio choice with a well-diversified market portfolio, but can alternatively choose to invest all...

Persistent link: https://www.econbiz.de/10012951768

Firm Heterogeneity and Credit Risk Diversification

Pesaran, M. Hashem - 2013

loss volatility and a more than one-half drop in 99.9% VaR, the level to which the risk weights of the New Basel Accord are …

Persistent link: https://www.econbiz.de/10012754519

The Downside Risk of Elevation

Bruckmeier, Kerstin - 2014

Being granted a title enhances the status of the awardee while its loss has an opposite effect. The present article examines whether the latter effect dominates the former in the sense that elevation is less status-enhancing than relegation is status-damaging. Thereto, we use the three...

Persistent link: https://www.econbiz.de/10013047259

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

Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models

Caporale, Guglielmo Maria - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

Persistent link: https://www.econbiz.de/10012910938