skip to content
Model Averaging in Risk Management with an Application to Futures Markets Preview this item
ClosePreview this item
Checking...

Model Averaging in Risk Management with an Application to Futures Markets

Author: M Hashem Pesaran; Christoph Schleicher; Paolo Zaffaroni
Publisher: München : CESifo, Center for Economic Studies & Ifo Institute for economic research, 2008.
Series: CESifo working paper series, 2231.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as 'average' models. The asymptotic as  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: M Hashem Pesaran; Christoph Schleicher; Paolo Zaffaroni
OCLC Number: 429210857
Description: 1 online resource (Text.)
Series Title: CESifo working paper series, 2231.
Responsibility: M. Hashem Pesaran, Christoph Schleicher, Paolo Zaffaroni.

Abstract:

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as 'average' models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of 'thick' model averaging strategies over single models or Bayesian type model averaging procedures.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/429210857> # Model Averaging in Risk Management with an Application to Futures Markets
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
   library:oclcnum "429210857" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/136808249#Place/munchen> ; # München
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/gw> ;
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/77421733> ; # Christoph Schleicher
   schema:contributor <http://viaf.org/viaf/57701543> ; # Paolo Zaffaroni
   schema:creator <http://viaf.org/viaf/108731710> ; # M Hashem Pesaran
   schema:datePublished "2008" ;
   schema:description "This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as 'average' models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of 'thick' model averaging strategies over single models or Bayesian type model averaging procedures." ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/136808249> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/136808249#Series/cesifo_working_paper_series> ; # CESifo working paper series ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/136808249#Series/cesifo_working_paper> ; # CESifo working paper ;
   schema:name "Model Averaging in Risk Management with an Application to Futures Markets" ;
   schema:productID "429210857" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/429210857#PublicationEvent/munchen_cesifo_center_for_economic_studies_&_ifo_institute_for_economic_research_2008> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/136808249#Agent/cesifo_center_for_economic_studies_&_ifo_institute_for_economic_research> ; # CESifo, Center for Economic Studies & Ifo Institute for economic research
   schema:url <http://www.cesifo-group.de/DocCIDL/cesifo1_wp2231.pdf> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/429210857> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/136808249#Agent/cesifo_center_for_economic_studies_&_ifo_institute_for_economic_research> # CESifo, Center for Economic Studies & Ifo Institute for economic research
    a bgn:Agent ;
   schema:name "CESifo, Center for Economic Studies & Ifo Institute for economic research" ;
    .

<http://experiment.worldcat.org/entity/work/data/136808249#Series/cesifo_working_paper> # CESifo working paper ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/429210857> ; # Model Averaging in Risk Management with an Application to Futures Markets
   schema:name "CESifo working paper ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/136808249#Series/cesifo_working_paper_series> # CESifo working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/429210857> ; # Model Averaging in Risk Management with an Application to Futures Markets
   schema:name "CESifo working paper series ;" ;
    .

<http://viaf.org/viaf/108731710> # M Hashem Pesaran
    a schema:Person ;
   schema:familyName "Pesaran" ;
   schema:givenName "M. Hashem" ;
   schema:name "M Hashem Pesaran" ;
    .

<http://viaf.org/viaf/57701543> # Paolo Zaffaroni
    a schema:Person ;
   schema:familyName "Zaffaroni" ;
   schema:givenName "Paolo" ;
   schema:name "Paolo Zaffaroni" ;
    .

<http://viaf.org/viaf/77421733> # Christoph Schleicher
    a schema:Person ;
   schema:familyName "Schleicher" ;
   schema:givenName "Christoph" ;
   schema:name "Christoph Schleicher" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.