FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2155268103> ?p ?o ?g. }

• W2155268103 abstract "This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain conditions portfolio returns based on an model will be more fat-tailed than if based on an individual underlying model with the same volatility. Evaluation of volatility models is also considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average models and its exact and asymptotic properties are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns based on twenty two of Standard & Poor's 500 industry group indices over the period January 2, 1995 to October 13, 2003, inclusive." @default.
• W2155268103 created "2016-06-24" @default.
• W2155268103 creator A5004307122 @default.
• W2155268103 creator A5051290643 @default.
• W2155268103 date "2004-01-01" @default.
• W2155268103 modified "2023-10-16" @default.
• W2155268103 title "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management" @default.
• W2155268103 cites W1528407481 @default.
• W2155268103 cites W1593627002 @default.
• W2155268103 cites W1596647511 @default.
• W2155268103 cites W1603903339 @default.
• W2155268103 cites W1727659491 @default.
• W2155268103 cites W1977970167 @default.
• W2155268103 cites W1995565517 @default.
• W2155268103 cites W1998968611 @default.
• W2155268103 cites W1999996900 @default.
• W2155268103 cites W2009358468 @default.
• W2155268103 cites W2011287014 @default.
• W2155268103 cites W2048484057 @default.
• W2155268103 cites W2049830183 @default.
• W2155268103 cites W2056099894 @default.
• W2155268103 cites W2061160212 @default.
• W2155268103 cites W2063593194 @default.
• W2155268103 cites W2063986268 @default.
• W2155268103 cites W2066628373 @default.
• W2155268103 cites W2077366270 @default.
• W2155268103 cites W2077959816 @default.
• W2155268103 cites W2088322978 @default.
• W2155268103 cites W2106145861 @default.
• W2155268103 cites W2111724258 @default.
• W2155268103 cites W2120641249 @default.
• W2155268103 cites W2125407925 @default.
• W2155268103 cites W2128937310 @default.
• W2155268103 cites W2130106683 @default.
• W2155268103 cites W2132286633 @default.
• W2155268103 cites W2135728169 @default.
• W2155268103 cites W2135791301 @default.
• W2155268103 cites W2152933101 @default.
• W2155268103 cites W2153155589 @default.
• W2155268103 cites W2181393575 @default.
• W2155268103 cites W2270864342 @default.
• W2155268103 cites W2488115949 @default.
• W2155268103 cites W3022145223 @default.
• W2155268103 cites W3121364726 @default.
• W2155268103 cites W3121850481 @default.
• W2155268103 cites W3122046970 @default.
• W2155268103 cites W3122071020 @default.
• W2155268103 cites W3122296838 @default.
• W2155268103 cites W3122351404 @default.
• W2155268103 cites W3122484008 @default.
• W2155268103 cites W3122528601 @default.
• W2155268103 cites W3123326327 @default.
• W2155268103 cites W3125564757 @default.
• W2155268103 cites W3142573493 @default.
• W2155268103 cites W982383590 @default.
• W2155268103 cites W1993387039 @default.
• W2155268103 cites W3198305722 @default.
• W2155268103 doi "https://doi.org/10.2139/ssrn.642681" @default.
• W2155268103 hasPublicationYear "2004" @default.
• W2155268103 type Work @default.
• W2155268103 sameAs 2155268103 @default.
• W2155268103 citedByCount "24" @default.
• W2155268103 countsByYear W21552681032017 @default.
• W2155268103 crossrefType "journal-article" @default.
• W2155268103 hasAuthorship W2155268103A5004307122 @default.
• W2155268103 hasAuthorship W2155268103A5051290643 @default.
• W2155268103 hasBestOaLocation W21552681032 @default.
• W2155268103 hasConcept C10138342 @default.
• W2155268103 hasConcept C106159729 @default.
• W2155268103 hasConcept C112930515 @default.
• W2155268103 hasConcept C144133560 @default.
• W2155268103 hasConcept C149782125 @default.
• W2155268103 hasConcept C162118730 @default.
• W2155268103 hasConcept C162324750 @default.
• W2155268103 hasConcept C2776517139 @default.
• W2155268103 hasConcept C2778414658 @default.
• W2155268103 hasConcept C32896092 @default.
• W2155268103 hasConcept C91602232 @default.
• W2155268103 hasConcept C94128290 @default.
• W2155268103 hasConceptScore W2155268103C10138342 @default.
• W2155268103 hasConceptScore W2155268103C106159729 @default.
• W2155268103 hasConceptScore W2155268103C112930515 @default.
• W2155268103 hasConceptScore W2155268103C144133560 @default.
• W2155268103 hasConceptScore W2155268103C149782125 @default.
• W2155268103 hasConceptScore W2155268103C162118730 @default.
• W2155268103 hasConceptScore W2155268103C162324750 @default.
• W2155268103 hasConceptScore W2155268103C2776517139 @default.
• W2155268103 hasConceptScore W2155268103C2778414658 @default.
• W2155268103 hasConceptScore W2155268103C32896092 @default.
• W2155268103 hasConceptScore W2155268103C91602232 @default.
• W2155268103 hasConceptScore W2155268103C94128290 @default.
• W2155268103 hasLocation W21552681031 @default.
• W2155268103 hasLocation W21552681032 @default.
• W2155268103 hasLocation W21552681033 @default.
• W2155268103 hasLocation W21552681034 @default.
• W2155268103 hasOpenAccess W2155268103 @default.
• W2155268103 hasPrimaryLocation W21552681031 @default.
• W2155268103 hasRelatedWork W144185328 @default.
• W2155268103 hasRelatedWork W1552080676 @default.
• W2155268103 hasRelatedWork W1637336294 @default.

• next