99
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Worldwide equity risk prediction

&
Pages 1333-1339 | Published online: 02 Jul 2013

References

  • Barras , L. , Scaillet , O. and Wermers , R. 2010 . False discoveries in mutual fund performance: measuring luck in estimated alphas . Journal of Finance , 65 : 179 – 216 .
  • Black , F. 1976 . The pricing of commodity contracts . Journal of Financial Economics , 3 : 167 – 79 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Bollerslev , T. , Chou , R. Y. and Kroner , K. 1992 . ARCH modeling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
  • Christoffersen , P. F. 1998 . Evaluating interval forecasts . International Economic Review , 39 : 841 – 62 .
  • Glosten , L. R. , Jaganathan , R. and Runkle , D. E. 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
  • Hoogerheide , L. F. , Ardia , D. and Corré , N. 2012 . Density prediction of stock index returns using GARCH models: frequentist or Bayesian estimation? . Economics Letters , 116 : 322 – 5 .
  • Hoogerheide , L. F. , Kaashoek , J. F. and Van Dijk , H. K. 2007 . On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks . Journal of Econometrics , 139 : 154 – 80 .
  • Hoogerheide , L. F. and Van Dijk , H. K. 2010 . Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling . International Journal of Forecasting , 26 : 231 – 47 .
  • Lesmond , D. A. , Ogden , J. P. and Trzinka , C. A. 1999 . A new estimate of transaction costs . The Review of Financial Studies , 12 : 1113 – 41 .
  • McNeil , A. J. and Frey , R. 2000 . Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach . Journal of Empirical Finance , 7 : 271 – 300 .
  • Silverman , B. W. 1986 . Density Estimation for Statistics and Data Analysis , 1st , New York : Chapman and Hall .
  • Storey , J. 2002 . A direct approach to false discovery rates . Journal of the Royal Statistical Society B , 64 : 479 – 98 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.