Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26276 
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dc.contributor.authorPesaran, Mohammad Hashemen
dc.contributor.authorSchleicher, Christophen
dc.contributor.authorZaffaroni, Paoloen
dc.date.accessioned2008-02-28-
dc.date.accessioned2009-07-28T08:29:53Z-
dc.date.available2009-07-28T08:29:53Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2231en
dc.subject.jelC32en
dc.subject.jelC52en
dc.subject.jelC53en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordmodel averagingen
dc.subject.keywordValue-at-Risken
dc.subject.keyworddecision based evaluationsen
dc.subject.stwValue at Risken
dc.subject.stwPortfolio-Managementen
dc.subject.stwVolatilitäten
dc.subject.stwPrognoseverfahrenen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwFinancial Futuresen
dc.subject.stwWelten
dc.titleModel Averaging in Risk Management with an Application to Futures Markets-
dc.typeWorking Paperen
dc.identifier.ppn559090684en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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