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~language:"eng"
~person:"Blundell, Richard"
~person:"Pesaran, M. Hashem"
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1
Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem
;
Schleicher, Christoph
;
Zaffaroni, Paolo
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
Saved in:
2
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Pesaran, M. Hashem
;
Zaffaroni, Paolo
-
2009
a
general
dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the …
Persistent link: https://www.econbiz.de/10003910456
Saved in:
3
Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Pesaran, M. Hashem
-
2009
a
general
dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the …
Persistent link: https://www.econbiz.de/10013153425
Saved in:
4
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 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...
Persistent link: https://www.econbiz.de/10013316571
Saved in:
5
Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2011
This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...
Persistent link: https://www.econbiz.de/10014042344
Saved in:
6
Optimal Asset Allocation with Factor Models for Large Portfolios
Pesaran, M. Hashem
;
Zaffaroni, Paolo
-
CESifo
-
2008
asset returns is characterized by a
general
factor model, with possibly heteroskedastic components. Under these conditions …
Persistent link: https://www.econbiz.de/10005765686
Saved in:
7
Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
de Nederlandsche Bank
-
2010
This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...
Persistent link: https://www.econbiz.de/10008494420
Saved in:
8
Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management
Pesaran, M. Hashem
;
Zaffaroni, Paolo
-
Institute of Economic Policy Research (IEPR), …
-
2004
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. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10005132580
Saved in:
9
Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Pesaran, M. Hashem
;
Zaffaroni, Paolo
-
CESifo
-
2009
a
general
dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the …
Persistent link: https://www.econbiz.de/10008583641
Saved in:
10
Big Data Analytics: A New Perspective
Chudik, Alexander
;
Kapetanios, George
;
Pesaran, M. Hashem
-
2016
interpret and relate to the classical statistical analysis, it allows working under more
general
assumptions, it is …
Persistent link: https://www.econbiz.de/10011451442
Saved in:
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