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Stock Returns and Expected Business Conditions : Half a Century of Direct Evidence
Campbell, Sean D.; Diebold, Francis X. - 2021
of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion …
Persistent link: https://www.econbiz.de/10013218119
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002636035
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10002569521
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10003350610
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - In: The risks of financial institutions : [...papers and …, (pp. 513-548). 2006
Persistent link: https://www.econbiz.de/10003445632
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
Andersen, Torben G. - 2005
What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …
Persistent link: https://www.econbiz.de/10012467618
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
Andersen, Torben G. - 2005
What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …
Persistent link: https://www.econbiz.de/10012784980
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Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
Bangia, Anil; Diebold, Francis X.; Schuermann, Til - Financial Institutions Center, Wharton School of Business - 2000
the expected changes in credit quality of obligors, are cardinal inputs to many applications, including portfolio risk … assessment, modeling the term structure of credit risk premia, and pricing of credit derivatives. They are also an integral part …
Persistent link: https://www.econbiz.de/10005794358
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Financial Asset Returns, Market Timing, and Volatility Dynamics
Christoffersen, Peter; Diebold, Francis X. - Centre Interuniversitaire de Recherche en Analyse des … - 2002
We consider three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs with implications for market timing, and dependence (and...
Persistent link: https://www.econbiz.de/10005100712
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Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing
Bangia, Anil - 2001
the expected changes in credit quality of obligors, are cardinal inputs to many applications, including portfolio risk … assessment, modeling the term structure of credit risk premia, and pricing of credit derivatives. They are also an integral part …
Persistent link: https://www.econbiz.de/10012742941