Term structure of risk under alternative econometric specifications
By: by Massimo Guidolin and Allan Timmermann.
Contributors: Timmermann, Allan.
Series: Working paper ;; 2005-001A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2005-001A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2005
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Econometric models.; Risk -- Mathematical models.
Description: "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 non-parametric 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"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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