SELECTED ARTICLES (THEMATICALLY GROUPED)
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: Forecasting, Risk Measurement,
Risk Management
Several surveys of aspects of volatility modeling and forecasting; weather derivatives; VaR horizons; liquidity risk; extreme values;
forecast accuracy comparison; regime switching.
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LIGHTER FARE
"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.
"Financial Risk Management in a Volatile Global Environment,"
Asia Risk, December 1999, 35-36 (with Anthony Santomero).
Lessons from the Asian crisis.
"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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