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Term Structure of Risk Under Alternative Econometric Specifications by Massimo Guidolin; Allan Timmermann is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Term Structure of Risk Under Alternative Econometric Specifications about?

This paper characterizes the term structure of risk measures such as value at risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with Student-t errors, two-component GARCH models and a nonparametric bootstrap. We show how to derive the risk measures for each of these models and document large variations in term structures across econometric specifications. An out-of-sample forecasting experiment applied to stock, bond and cash portfolios suggests that the best model is asset-and horizon specific but that the bootstrap and regime switching model are best overall for VaR levels of 5% and 1%, respectively.

Who reads Term Structure of Risk Under Alternative Econometric Specifications?

Author

Massimo Guidolin; Allan Timmermann

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4076)

Published

2006

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)