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CLICK BELOW FOR RESEARCH PAPERS GROUPED THEMATICALLY
Asset Return Volatility and Correlation
Measurement, Modeling and Forecasting
Realized volatility computed from high-frequency data; range-based
volatility; GARCH-based volatility; measuring volatility spillovers;
volatility and macroeconomic fundamentals; applications to portfolio
allocation, risk management and asset pricing.
Yield Curve Measurement, Modeling and
Forecasting
Reinterpreting Nelson-Siegel as a modern three-factor model of level,
slope and curvature; superior forecasting performance; links of factors
to macroeconomic fundamentals (inflation, capacity utilization);
hedging bond portfolio risk using generalized duration; globalizing the
model; making the model arbitrage-free.
General Financial Market
Measurement, Modeling and Forecasting
Stock returns and expected business conditions; market timing and
direction-of-change forecasting; density forecasting and forecast
evaluation; forecasting under asymmetric loss functions; specifying
forecasting models and measuring forecastability; forecast evaluation
in cointegrated systems.
Macroeconomic and Business Cycle
Measurement, Modeling and Forecasting
Global stock market volatility and macroeconomic fundamentals;
real-time measurement of business conditions; stock returns and
expected business conditions; dynamic factor models; regime switching;
business cycle effects in credit risk modeling; yield curve modeling
with macro interactions; real-time news effects in financial markets;
how to calibrate if you must.
Miscellaneous Issues in Forecasting,
Risk Measurement and Risk Management
Several surveys of aspects of volatility modeling and forecasting;
weather derivatives; VaR horizons; liquidity risk; extreme values;
forecast accuracy comparison; long memory; regime switching.
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CLICK BELOW FOR LIGHTER FARE
"The
New Role of Risk Management: Rebuilding the Model,"
Knowledge@Wharton Interview, June 24, 2009. Audio and related materials
here.
"The Known,
the Unknown, and the Unknowable in Financial Risk Management,"
Manuscript, Departments of Economics, Finance, and Risk Management and
Insurance, University of Pennsylvania, 2008 (with R.J. Herring and N.J.
Doherty).
Statistical issues emerge as central to risk measurement,
but economic issues of incentives and strategic behavior
emerge as central for risk management, as we illustrate in a
variety of contexts.
"The Nobel Prize for Robert F. Engle"
Scandinavian Journal of Economics, 106, 165-185, 2004.
Understanding Rob Engle's 2003 Nobel Prize in Economics.
Volatility and correlation modeling in financial markets.
What happened and why.
"Econometrics: Retrospect and Prospect," Journal
of Econometrics, 100, 73-75, 2001.
Looking backward and forward on the twenty-fifth anniversary of the
founding of the Journal of Econometrics.
"Great Realizations," Risk, March 2000,
105-108 (with T. Andersen and T. Bollerslev).
Describes the potential of realized volatility methods, in conjunction
with modern high-frequency data, for measuring asset return
volatilities and correlations. Introduces the volatility
signature plot for detecting and mitigating the effects of
microstructure noise.
"The Past, Present and Future of Macroeconomic
Forecasting," Journal of Economic Perspectives, 12,
175-192, 1998.
General equilibrium models useful for forecasting?! Lots
of people think this article is naive, or just plain wrong. Time
will tell...
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