全球智库信息集成服务系统(G2TT): DP5351 Oppositional Identities and the Labour Market

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP5351
	DP5351 Oppositional Identities and the Labour Market
	Yves Zenou; Harminder Battu; MacDonald Mwale
发表日期	2005-11-08
出版年	2005
语种	英语
摘要	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. 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 based on 22 of Standard & Poor?s 500 industry group indices over the period 1995-2003. We find strong evidence in support of ?thick? modelling proposed in the forecasting literature by Granger and Jeon (2004).
主题	International Macroeconomics ; Industrial Organization
关键词	Model averaging Value-at-risk Decision-based evaluations
URL	https://cepr.org/publications/dp5351
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/534207
推荐引用方式 GB/T 7714	Yves Zenou,Harminder Battu,MacDonald Mwale. DP5351 Oppositional Identities and the Labour Market. 2005.