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How relevant is volatility forecasting for financial risk management?

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Endogenous risk in a portfolio-balance rational-expectations model of the deutschemark-dollar rate

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On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

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Modeling liquidity risk, with implications for traditional market risk measurement and management

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How relevant is volatility forecasting for financial risk management?

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Practical volatility and correlation modeling for financial market risk management

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Practical volatility and correlation modeling for financial market risk management

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Financial risk measurement for financial risk management

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On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10009310942