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.
|
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...
|
