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dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.contributor.authorSchleicher, Christophen_US
dc.contributor.authorZaffaroni, Paoloen_US
dc.date.accessioned2008-02-28en_US
dc.date.accessioned2009-07-28T08:29:53Z-
dc.date.available2009-07-28T08:29:53Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/26276-
dc.description.abstractThis 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. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average’ models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2231en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordmodel averagingen_US
dc.subject.keywordValue-at-Risken_US
dc.subject.keyworddecision based evaluationsen_US
dc.subject.stwValue at Risken_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwFinancial Futuresen_US
dc.subject.stwWelten_US
dc.titleModel Averaging in Risk Management with an Application to Futures Marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn559090684en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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