-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a … systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily … studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …

construct managed portfolios of a risk-free asset and market index. …

risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. … dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of …

extrapolating short-term volatility predictions to medium-horizon (one year to ten years) risk predictions systematically overstates … (understates) medium-horizon risk when short-term volatility is high (low). In this paper, we propose a computationally feasible … volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of …