Title: Term structure of risk under alternative econometric specifications
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.
Subjects: Econometric models, Mathematical models, Risk