allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …

a strong positive relation to conditional international equity and currency risk premia, as well as a close link to …

accurate risk forecasts, but also potentially reduces the regulatory capital requirements during periods of distress. In terms … than the equally weighted portfolio and all competing models. Finally, the regime forecasts are employed in a dynamic risk … control strategy that avoids most losses during the fi nancial crisis and vastly improves risk-adjusted returns …

-C-MGARCH) model of Fülle and Herwartz (2021). As an empirical illustration we take the perspective of a risk averse agent and employ … risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID-19 …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk …