Narrow search
Showing 1 - 10 of 421
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
Cover Image
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
Cover Image
Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003671171
Cover Image
Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management
Pesaran, M. Hashem; Zaffaroni, Paolo - 2005
Persistent link: https://www.econbiz.de/10003224850
Cover Image
Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Pesaran, M. Hashem (contributor);  … - 2004
use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …
Persistent link: https://www.econbiz.de/10002523934
Cover Image
Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Pesaran, M. Hashem; Zaffaroni, Paolo - 2004
use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as 'average' models and its exact …
Persistent link: https://www.econbiz.de/10002574365
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
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 …
Persistent link: https://www.econbiz.de/10013316571
Cover Image
Optimal asset allocation with factor models for large portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - 2008
Persistent link: https://www.econbiz.de/10003850829
Cover Image
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10003910456
Cover Image
Optimal asset allocation with factor models for large portfolios
Pesaran, M. Hashem (contributor);  … - 2008
strategies. First, we show that the tangency portfolios fully diversify the risk associated with the factor component of asset …
Persistent link: https://www.econbiz.de/10003720566