| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4633 |
| DP4633 Incentives and Prosocial Behaviour | |
| Jean Tirole; Roland Benabou | |
| 发表日期 | 2004-09-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap. We show how to derive the risk measures for each of these models and document large variations in term structures across econometric specifications. An out-of-sample forecasting experiment applied to stock, bond and cash portfolios suggests that the best model is asset- and horizon specific but that the bootstrap and regime switching model are best overall for VaR levels of 5% and 1%, respectively. |
| 主题 | Financial Economics |
| 关键词 | Term structure of risk Nonlinear econometric models Simulation models |
| URL | https://cepr.org/publications/dp4633 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533553 |
| 推荐引用方式 GB/T 7714 | Jean Tirole,Roland Benabou. DP4633 Incentives and Prosocial Behaviour. 2004. |
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