메뉴 건너뛰기




Volumn 31, Issue 3, 2005, Pages

Toward better risk forecasts

Author keywords

[No Author keywords available]

Indexed keywords


EID: 18944366043     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2005.500362     Document Type: Article
Times cited : (5)

References (18)
  • 1
    • 0005880209 scopus 로고    scopus 로고
    • Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
    • Anderson, Torben, and Tim Bollerslev. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts." International Economic Review, Vol. 39 (1998), pp. 885-905.
    • (1998) International Economic Review , vol.39 , pp. 885-905
    • Anderson, T.1    Bollerslev, T.2
  • 2
    • 0041308591 scopus 로고    scopus 로고
    • Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
    • Anderson, Torben, Tim Bollerslev, and Steve Lange. "Forecasting Financial Market Volatility: Sample Frequency vis-à-vis Forecast Horizon." Journal of Empirical Finance, Vol. 6 (1999), pp. 457-477.
    • (1999) Journal of Empirical Finance , vol.6 , pp. 457-477
    • Anderson, T.1    Bollerslev, T.2    Lange, S.3
  • 3
    • 0012676386 scopus 로고    scopus 로고
    • Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
    • Blair, Bevan, Ser-Huang Poon, and Stephen Taylor. "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns." Journal of Econometrics, 105(1) (2001), pp. 5-26.
    • (2001) Journal of Econometrics , vol.105 , Issue.1 , pp. 5-26
    • Blair, B.1    Poon, S.-H.2    Taylor, S.3
  • 4
    • 0001023182 scopus 로고
    • Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model
    • August
    • Bollerslev, Tim. "Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model." Review of Economics and Statistics, 72(3) (August 1990), pp. 498-505.
    • (1990) Review of Economics and Statistics , vol.72 , Issue.3 , pp. 498-505
    • Bollerslev, T.1
  • 5
    • 0033453060 scopus 로고    scopus 로고
    • On portfolio optimization: Forecasting covariances and choosing the risk model
    • Chan, Louis, Jason Karceski, and Josef Lakonishok. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model." The Review of Financial Studies, Vol. 12 (1999), pp. 937-974.
    • (1999) The Review of Financial Studies , vol.12 , pp. 937-974
    • Chan, L.1    Karceski, J.2    Lakonishok, J.3
  • 6
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, Eugene, and Kenneth French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, Vol. 33 (1993), pp. 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.1    French, K.2
  • 7
    • 0039084784 scopus 로고
    • Stock return variances: The arrival of information and the reaction of traders
    • French, Kenneth, and Richard Roll. "Stock Return Variances: The Arrival of Information and the Reaction of Traders." Journal of Financial Economics, Vol. 17 (1986), pp. 5-26.
    • (1986) Journal of Financial Economics , vol.17 , pp. 5-26
    • French, K.1    Roll, R.2
  • 10
    • 0040988620 scopus 로고
    • Short-horizon return reversals and the bid-ask spread
    • Jegadeesh, Narasimhan, and Sheridan Titman. "Short-Horizon Return Reversals and the Bid-Ask Spread." Journal of Financial Intermediation, Vol. 4 (1995), pp. 116-132.
    • (1995) Journal of Financial Intermediation , vol.4 , pp. 116-132
    • Jegadeesh, N.1    Titman, S.2
  • 11
    • 0000621768 scopus 로고
    • An econometric analysis of nonsynchronous trading
    • Lo, Andrew, and Craig MacKinlay. "An Econometric Analysis of Nonsynchronous Trading. "Journal of Econometrics, Vol. 45 (1990), pp. 181-211.
    • (1990) Journal of Econometrics , vol.45 , pp. 181-211
    • Lo, A.1    MacKinlay, C.2
  • 12
    • 0031523710 scopus 로고    scopus 로고
    • Why do security prices fluctuate? A transaction-level analysis of NYSE stocks
    • Madhavan, Ananth, Matthew Richardson, and Mark Roomans. "Why Do Security Prices Fluctuate? A Transaction-Level Analysis of NYSE Stocks." The Review of Financial Studies, Vol. 10 (1997), pp. 1035-1064.
    • (1997) The Review of Financial Studies , vol.10 , pp. 1035-1064
    • Madhavan, A.1    Richardson, M.2    Roomans, M.3
  • 13
    • 0345099670 scopus 로고    scopus 로고
    • Practical risk analysis for portfolio managers and traders
    • Madhavan, Ananth, and Jian Yang. "Practical Risk Analysis for Portfolio Managers and Traders." The Journal of Portfolio Management, Vol. 30 (2003), pp. 73-85.
    • (2003) The Journal of Portfolio Management , vol.30 , pp. 73-85
    • Madhavan, A.1    Yang, J.2
  • 14
    • 85025724501 scopus 로고
    • On estimating the expected return on the market: An exploratory investigation
    • Merton, Robert. "On Estimating the Expected Return on the Market: An Exploratory Investigation." Journal of Financial Economics, Vol. 8(4) (1980), pp. 323-361.
    • (1980) Journal of Financial Economics , vol.8 , Issue.4 , pp. 323-361
    • Merton, R.1
  • 15
    • 0141866991 scopus 로고
    • Estimating betas from nonsynchronous data
    • Scholes, Myron, and Joseph Williams. "Estimating Betas from Nonsynchronous Data." Journal of Financial Economics, 5 (1977), pp. 309-327.
    • (1977) Journal of Financial Economics , vol.5 , pp. 309-327
    • Scholes, M.1    Williams, J.2
  • 16
    • 0142052033 scopus 로고    scopus 로고
    • Stock market volatility: Ten years after the crash
    • Schwert, William. "Stock Market Volatility: Ten Years After the Crash." Brookings-Wharton Papers on Financial Services, Vol. 1 (1998), pp. 65-114.
    • (1998) Brookings-Wharton Papers on Financial Services , vol.1 , pp. 65-114
    • Schwert, W.1
  • 17
    • 0036149166 scopus 로고    scopus 로고
    • Stock volatility in the new millennium: How wacky is nasdaq?
    • _. "Stock Volatility in the New Millennium: How Wacky is Nasdaq?" Journal of Monetary Economics, Vol. 49 (2002), pp. 3-26.
    • (2002) Journal of Monetary Economics , vol.49 , pp. 3-26
  • 18
    • 0001205591 scopus 로고
    • A note on using cross-sectional information in Bayesian estimation of security betas
    • Vasicek, Oldrich Alfons. "A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas." Journal of Finance, Vol. 8, No. 5 (1973), pp. 1233-1239.
    • (1973) Journal of Finance , vol.8 , Issue.5 , pp. 1233-1239
    • Vasicek, O.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.