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Publisher: Oxford University Press   (Total: 370 journals)

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Showing 1 - 200 of 370 Journals sorted alphabetically
Acta Biochimica et Biophysica Sinica     Hybrid Journal   (Followers: 6, SJR: 0.881, h-index: 38)
Adaptation     Hybrid Journal   (Followers: 8, SJR: 0.111, h-index: 4)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.538, h-index: 35)
African Affairs     Hybrid Journal   (Followers: 59, SJR: 1.512, h-index: 46)
Age and Ageing     Hybrid Journal   (Followers: 85, SJR: 1.611, h-index: 107)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 16, SJR: 0.935, h-index: 80)
American Entomologist     Full-text available via subscription   (Followers: 6)
American Historical Review     Hybrid Journal   (Followers: 140, SJR: 0.652, h-index: 43)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 40, SJR: 1.441, h-index: 77)
American J. of Epidemiology     Hybrid Journal   (Followers: 169, SJR: 3.047, h-index: 201)
American J. of Hypertension     Hybrid Journal   (Followers: 23, SJR: 1.397, h-index: 111)
American J. of Jurisprudence     Hybrid Journal   (Followers: 17)
American J. of Legal History     Full-text available via subscription   (Followers: 6, SJR: 0.151, h-index: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 25, SJR: 0.824, h-index: 23)
American Literary History     Hybrid Journal   (Followers: 12, SJR: 0.185, h-index: 22)
Analysis     Hybrid Journal   (Followers: 23)
Annals of Botany     Hybrid Journal   (Followers: 36, SJR: 1.912, h-index: 124)
Annals of Occupational Hygiene     Hybrid Journal   (Followers: 28, SJR: 0.837, h-index: 57)
Annals of Oncology     Hybrid Journal   (Followers: 49, SJR: 4.362, h-index: 173)
Annals of the Entomological Society of America     Full-text available via subscription   (Followers: 8, SJR: 0.642, h-index: 53)
Annals of Work Exposures and Health     Hybrid Journal  
AoB Plants     Open Access   (Followers: 4, SJR: 0.78, h-index: 10)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 19, SJR: 0.884, h-index: 31)
Applied Linguistics     Hybrid Journal   (Followers: 51, SJR: 1.749, h-index: 63)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1, SJR: 0.779, h-index: 11)
Arbitration Intl.     Full-text available via subscription   (Followers: 20)
Arbitration Law Reports and Review     Hybrid Journal   (Followers: 13)
Archives of Clinical Neuropsychology     Hybrid Journal   (Followers: 26, SJR: 0.96, h-index: 71)
Aristotelian Society Supplementary Volume     Hybrid Journal   (Followers: 2, SJR: 0.102, h-index: 20)
Arthropod Management Tests     Hybrid Journal   (Followers: 2)
Astronomy & Geophysics     Hybrid Journal   (Followers: 47, SJR: 0.144, h-index: 15)
Behavioral Ecology     Hybrid Journal   (Followers: 49, SJR: 1.698, h-index: 92)
Bioinformatics     Hybrid Journal   (Followers: 287, SJR: 4.643, h-index: 271)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 9, SJR: 1.646, h-index: 149)
Biometrika     Hybrid Journal   (Followers: 19, SJR: 2.801, h-index: 90)
BioScience     Hybrid Journal   (Followers: 30, SJR: 2.374, h-index: 154)
Bioscience Horizons : The National Undergraduate Research J.     Open Access   (Followers: 1, SJR: 0.213, h-index: 9)
Biostatistics     Hybrid Journal   (Followers: 16, SJR: 1.955, h-index: 55)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 151, SJR: 2.314, h-index: 133)
BJA Education     Hybrid Journal   (Followers: 64, SJR: 0.272, h-index: 20)
Brain     Hybrid Journal   (Followers: 60, SJR: 6.097, h-index: 264)
Briefings in Bioinformatics     Hybrid Journal   (Followers: 44, SJR: 4.086, h-index: 73)
Briefings in Functional Genomics     Hybrid Journal   (Followers: 4, SJR: 1.771, h-index: 50)
British J. for the Philosophy of Science     Hybrid Journal   (Followers: 34, SJR: 1.267, h-index: 38)
British J. of Aesthetics     Hybrid Journal   (Followers: 26, SJR: 0.217, h-index: 18)
British J. of Criminology     Hybrid Journal   (Followers: 526, SJR: 1.373, h-index: 62)
British J. of Social Work     Hybrid Journal   (Followers: 83, SJR: 0.771, h-index: 53)
British Medical Bulletin     Hybrid Journal   (Followers: 7, SJR: 1.391, h-index: 84)
British Yearbook of Intl. Law     Hybrid Journal   (Followers: 27)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 3, SJR: 1.474, h-index: 31)
Cambridge J. of Economics     Hybrid Journal   (Followers: 58, SJR: 0.957, h-index: 59)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 11, SJR: 1.067, h-index: 22)
Cambridge Quarterly     Hybrid Journal   (Followers: 11, SJR: 0.1, h-index: 7)
Capital Markets Law J.     Hybrid Journal   (Followers: 1)
Carcinogenesis     Hybrid Journal   (Followers: 2, SJR: 2.439, h-index: 167)
Cardiovascular Research     Hybrid Journal   (Followers: 12, SJR: 2.897, h-index: 175)
Cerebral Cortex     Hybrid Journal   (Followers: 41, SJR: 4.827, h-index: 192)
CESifo Economic Studies     Hybrid Journal   (Followers: 16, SJR: 0.501, h-index: 19)
Chemical Senses     Hybrid Journal   (Followers: 1, SJR: 1.436, h-index: 76)
Children and Schools     Hybrid Journal   (Followers: 6, SJR: 0.211, h-index: 18)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 3)
Chinese J. of Intl. Law     Hybrid Journal   (Followers: 21, SJR: 0.737, h-index: 11)
Chinese J. of Intl. Politics     Hybrid Journal   (Followers: 9, SJR: 1.238, h-index: 15)
Christian Bioethics: Non-Ecumenical Studies in Medical Morality     Hybrid Journal   (Followers: 11, SJR: 0.191, h-index: 8)
Classical Receptions J.     Hybrid Journal   (Followers: 24, SJR: 0.1, h-index: 3)
Clinical Infectious Diseases     Hybrid Journal   (Followers: 59, SJR: 4.742, h-index: 261)
Clinical Kidney J.     Open Access   (Followers: 4, SJR: 0.338, h-index: 19)
Community Development J.     Hybrid Journal   (Followers: 24, SJR: 0.47, h-index: 28)
Computer J.     Hybrid Journal   (Followers: 7, SJR: 0.371, h-index: 47)
Conservation Physiology     Open Access   (Followers: 2)
Contemporary Women's Writing     Hybrid Journal   (Followers: 11, SJR: 0.111, h-index: 3)
Contributions to Political Economy     Hybrid Journal   (Followers: 5, SJR: 0.313, h-index: 10)
Critical Values     Full-text available via subscription  
Current Legal Problems     Hybrid Journal   (Followers: 26)
Current Zoology     Full-text available via subscription   (SJR: 0.999, h-index: 20)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 11, SJR: 1.068, h-index: 24)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 12)
Diplomatic History     Hybrid Journal   (Followers: 19, SJR: 0.296, h-index: 22)
DNA Research     Open Access   (Followers: 4, SJR: 2.42, h-index: 77)
Dynamics and Statistics of the Climate System     Open Access   (Followers: 3)
Early Music     Hybrid Journal   (Followers: 15, SJR: 0.124, h-index: 11)
Economic Policy     Hybrid Journal   (Followers: 63, SJR: 2.052, h-index: 52)
ELT J.     Hybrid Journal   (Followers: 25, SJR: 1.26, h-index: 23)
English Historical Review     Hybrid Journal   (Followers: 51, SJR: 0.311, h-index: 10)
English: J. of the English Association     Hybrid Journal   (Followers: 13, SJR: 0.144, h-index: 3)
Environmental Entomology     Full-text available via subscription   (Followers: 11, SJR: 0.791, h-index: 66)
Environmental Epigenetics     Open Access   (Followers: 1)
Environmental History     Hybrid Journal   (Followers: 26, SJR: 0.197, h-index: 25)
EP-Europace     Hybrid Journal   (Followers: 2, SJR: 2.201, h-index: 71)
Epidemiologic Reviews     Hybrid Journal   (Followers: 10, SJR: 3.917, h-index: 81)
ESHRE Monographs     Hybrid Journal  
Essays in Criticism     Hybrid Journal   (Followers: 16, SJR: 0.1, h-index: 6)
European Heart J.     Hybrid Journal   (Followers: 49, SJR: 6.997, h-index: 227)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 8, SJR: 2.044, h-index: 58)
European Heart J. - Cardiovascular Pharmacotherapy     Full-text available via subscription   (Followers: 1)
European Heart J. - Quality of Care and Clinical Outcomes     Hybrid Journal  
European Heart J. Supplements     Hybrid Journal   (Followers: 7, SJR: 0.152, h-index: 31)
European J. of Cardio-Thoracic Surgery     Hybrid Journal   (Followers: 8, SJR: 1.568, h-index: 104)
European J. of Intl. Law     Hybrid Journal   (Followers: 159, SJR: 0.722, h-index: 38)
European J. of Orthodontics     Hybrid Journal   (Followers: 4, SJR: 1.09, h-index: 60)
European J. of Public Health     Hybrid Journal   (Followers: 22, SJR: 1.284, h-index: 64)
European Review of Agricultural Economics     Hybrid Journal   (Followers: 11, SJR: 1.549, h-index: 42)
European Review of Economic History     Hybrid Journal   (Followers: 28, SJR: 0.628, h-index: 24)
European Sociological Review     Hybrid Journal   (Followers: 41, SJR: 2.061, h-index: 53)
Evolution, Medicine, and Public Health     Open Access   (Followers: 11)
Family Practice     Hybrid Journal   (Followers: 11, SJR: 1.048, h-index: 77)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 9, SJR: 1.687, h-index: 115)
Fems Microbiology Letters     Hybrid Journal   (Followers: 20, SJR: 1.126, h-index: 118)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 25, SJR: 7.587, h-index: 150)
Fems Yeast Research     Hybrid Journal   (Followers: 13, SJR: 1.213, h-index: 66)
Foreign Policy Analysis     Hybrid Journal   (Followers: 22, SJR: 0.859, h-index: 10)
Forestry: An Intl. J. of Forest Research     Hybrid Journal   (Followers: 16, SJR: 0.903, h-index: 44)
Forum for Modern Language Studies     Hybrid Journal   (Followers: 6, SJR: 0.108, h-index: 6)
French History     Hybrid Journal   (Followers: 32, SJR: 0.123, h-index: 10)
French Studies     Hybrid Journal   (Followers: 20, SJR: 0.119, h-index: 7)
French Studies Bulletin     Hybrid Journal   (Followers: 10, SJR: 0.102, h-index: 3)
Gastroenterology Report     Open Access   (Followers: 2)
Genome Biology and Evolution     Open Access   (Followers: 10, SJR: 3.22, h-index: 39)
Geophysical J. Intl.     Hybrid Journal   (Followers: 34, SJR: 1.839, h-index: 119)
German History     Hybrid Journal   (Followers: 25, SJR: 0.437, h-index: 13)
GigaScience     Open Access   (Followers: 3)
Global Summitry     Hybrid Journal  
Glycobiology     Hybrid Journal   (Followers: 14, SJR: 1.692, h-index: 101)
Health and Social Work     Hybrid Journal   (Followers: 49, SJR: 0.505, h-index: 40)
Health Education Research     Hybrid Journal   (Followers: 12, SJR: 0.814, h-index: 80)
Health Policy and Planning     Hybrid Journal   (Followers: 20, SJR: 1.628, h-index: 66)
Health Promotion Intl.     Hybrid Journal   (Followers: 21, SJR: 0.664, h-index: 60)
History Workshop J.     Hybrid Journal   (Followers: 27, SJR: 0.313, h-index: 20)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 24, SJR: 0.115, h-index: 13)
Human Molecular Genetics     Hybrid Journal   (Followers: 9, SJR: 4.288, h-index: 233)
Human Reproduction     Hybrid Journal   (Followers: 78, SJR: 2.271, h-index: 179)
Human Reproduction Update     Hybrid Journal   (Followers: 17, SJR: 4.678, h-index: 128)
Human Rights Law Review     Hybrid Journal   (Followers: 60, SJR: 0.7, h-index: 21)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 53, SJR: 1.233, h-index: 88)
ICSID Review     Hybrid Journal   (Followers: 10)
ILAR J.     Hybrid Journal   (Followers: 1, SJR: 1.099, h-index: 51)
IMA J. of Applied Mathematics     Hybrid Journal   (SJR: 0.329, h-index: 26)
IMA J. of Management Mathematics     Hybrid Journal   (Followers: 2, SJR: 0.351, h-index: 20)
IMA J. of Mathematical Control and Information     Hybrid Journal   (Followers: 2, SJR: 0.661, h-index: 28)
IMA J. of Numerical Analysis - advance access     Hybrid Journal   (SJR: 2.032, h-index: 44)
Industrial and Corporate Change     Hybrid Journal   (Followers: 8, SJR: 1.37, h-index: 81)
Industrial Law J.     Hybrid Journal   (Followers: 30, SJR: 0.184, h-index: 15)
Information and Inference     Free  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 8, SJR: 1.911, h-index: 90)
Interacting with Computers     Hybrid Journal   (Followers: 10, SJR: 0.529, h-index: 59)
Interactive CardioVascular and Thoracic Surgery     Hybrid Journal   (Followers: 5, SJR: 0.743, h-index: 35)
Intl. Affairs     Hybrid Journal   (Followers: 52, SJR: 1.264, h-index: 53)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 28)
Intl. Health     Hybrid Journal   (Followers: 5, SJR: 0.835, h-index: 15)
Intl. Immunology     Hybrid Journal   (Followers: 3, SJR: 1.613, h-index: 111)
Intl. J. for Quality in Health Care     Hybrid Journal   (Followers: 33, SJR: 1.593, h-index: 69)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 60, SJR: 0.613, h-index: 19)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 147, SJR: 4.381, h-index: 145)
Intl. J. of Law and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.247, h-index: 8)
Intl. J. of Law, Policy and the Family     Hybrid Journal   (Followers: 29, SJR: 0.307, h-index: 15)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 8, SJR: 0.404, h-index: 18)
Intl. J. of Low-Carbon Technologies     Open Access   (Followers: 1, SJR: 0.457, h-index: 12)
Intl. J. of Neuropsychopharmacology     Open Access   (Followers: 3, SJR: 1.69, h-index: 79)
Intl. J. of Public Opinion Research     Hybrid Journal   (Followers: 9, SJR: 0.906, h-index: 33)
Intl. J. of Refugee Law     Hybrid Journal   (Followers: 33, SJR: 0.231, h-index: 21)
Intl. J. of Transitional Justice     Hybrid Journal   (Followers: 13, SJR: 0.833, h-index: 12)
Intl. Mathematics Research Notices     Hybrid Journal   (Followers: 1, SJR: 2.052, h-index: 42)
Intl. Political Sociology     Hybrid Journal   (Followers: 31, SJR: 1.339, h-index: 19)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 18, SJR: 0.539, h-index: 17)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 7, SJR: 0.998, h-index: 28)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 38, SJR: 2.184, h-index: 68)
Intl. Studies Review     Hybrid Journal   (Followers: 18, SJR: 0.783, h-index: 38)
ISLE: Interdisciplinary Studies in Literature and Environment     Hybrid Journal   (Followers: 1, SJR: 0.155, h-index: 4)
ITNOW     Hybrid Journal   (Followers: 2, SJR: 0.102, h-index: 4)
J. of African Economies     Hybrid Journal   (Followers: 15, SJR: 0.647, h-index: 30)
J. of American History     Hybrid Journal   (Followers: 43, SJR: 0.286, h-index: 34)
J. of Analytical Toxicology     Hybrid Journal   (Followers: 13, SJR: 1.038, h-index: 60)
J. of Antimicrobial Chemotherapy     Hybrid Journal   (Followers: 13, SJR: 2.157, h-index: 149)
J. of Antitrust Enforcement     Hybrid Journal   (Followers: 1)
J. of Applied Poultry Research     Hybrid Journal   (Followers: 3, SJR: 0.563, h-index: 43)
J. of Biochemistry     Hybrid Journal   (Followers: 43, SJR: 1.341, h-index: 96)
J. of Chromatographic Science     Hybrid Journal   (Followers: 16, SJR: 0.448, h-index: 42)
J. of Church and State     Hybrid Journal   (Followers: 11, SJR: 0.167, h-index: 11)
J. of Competition Law and Economics     Hybrid Journal   (Followers: 35, SJR: 0.442, h-index: 16)
J. of Complex Networks     Hybrid Journal   (Followers: 1, SJR: 1.165, h-index: 5)
J. of Conflict and Security Law     Hybrid Journal   (Followers: 13, SJR: 0.196, h-index: 15)
J. of Consumer Research     Full-text available via subscription   (Followers: 43, SJR: 4.896, h-index: 121)
J. of Crohn's and Colitis     Hybrid Journal   (Followers: 10, SJR: 1.543, h-index: 37)
J. of Cybersecurity     Hybrid Journal   (Followers: 3)
J. of Deaf Studies and Deaf Education     Hybrid Journal   (Followers: 9, SJR: 0.69, h-index: 36)
J. of Design History     Hybrid Journal   (Followers: 16, SJR: 0.166, h-index: 14)
J. of Economic Entomology     Full-text available via subscription   (Followers: 6, SJR: 0.894, h-index: 76)
J. of Economic Geography     Hybrid Journal   (Followers: 39, SJR: 2.909, h-index: 69)
J. of Environmental Law     Hybrid Journal   (Followers: 23, SJR: 0.457, h-index: 20)
J. of European Competition Law & Practice     Hybrid Journal   (Followers: 19)
J. of Experimental Botany     Hybrid Journal   (Followers: 14, SJR: 2.798, h-index: 163)
J. of Financial Econometrics     Hybrid Journal   (Followers: 23, SJR: 1.314, h-index: 27)
J. of Global Security Studies     Hybrid Journal   (Followers: 3)
J. of Heredity     Hybrid Journal   (Followers: 4, SJR: 1.024, h-index: 76)
J. of Hindu Studies     Hybrid Journal   (Followers: 7, SJR: 0.186, h-index: 3)
J. of Hip Preservation Surgery     Open Access  
J. of Human Rights Practice     Hybrid Journal   (Followers: 20, SJR: 0.399, h-index: 10)
J. of Infectious Diseases     Hybrid Journal   (Followers: 39, SJR: 4, h-index: 209)
J. of Insect Science     Open Access   (Followers: 8, SJR: 0.388, h-index: 31)

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Journal Cover Journal of Financial Econometrics
  [SJR: 1.314]   [H-I: 27]   [23 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1479-8409 - ISSN (Online) 1479-8417
   Published by Oxford University Press Homepage  [370 journals]
  • Indirect Inference Estimation of Mixed Frequency Stochastic Volatility
           State Space Models using MIDAS Regressions and ARCH Models
    • Authors: Gagliardini PP; Ghysels EE, Rubin MM.
      Pages: 509 - 560
      Abstract: AbstractWe examine the relationship between Mixed Data Sampling (MIDAS) regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider state space models which feature stochastic volatility (SV), or other non-Gaussian and nonlinear settings where Maximum Likelihood (ML) methods require computationally demanding approximate filters. The SV feature is particularly relevant when considering high frequency financial series. In addition, we propose a filtering scheme which relies on a combination of reprojection methods and nowcasting MIDAS regressions with ARCH models. We assess the efficiency of our indirect inference estimator for the SV model by comparing it with the ML estimator in Monte Carlo simulation experiments. The ML estimate is computed with a simulation-based Expectation-Maximization (EM) algorithm, in which the smoothing distribution required in the E step is obtained via a particle forward-filtering/backward-smoothing algorithm. Our Monte Carlo simulations show that the Indirect Inference procedure is very appealing, as its statistical accuracy is close to that of MLE but the former procedure has clear advantages in terms of computational efficiency. An application to forecasting quarterly GDP growth in the Euro area with monthly macroeconomic indicators illustrates the usefulness of our procedure in empirical analysis.
      PubDate: 2017-02-08
      DOI: 10.1093/jjfinec/nbw013
      Issue No: Vol. 15, No. 4 (2017)
       
  • Real-Time GARCH *
    • Authors: Smetanina E.
      Pages: 561 - 601
      Abstract: AbstractMost GARCH-type models follow Engle’s (1982) original idea of modeling the volatility of asset returns as a function of only past information. We propose a new model, which retains the simple GARCH structure, but describes the volatility process as a mixture of past and current information. We show how the new model can be interpreted as the special case of a stochastic volatility (SV) model, which provides therefore a link between GARCH and SV models. We show that we are able to obtain better volatility forecasts than the standard GARCH-type models; improve the empirical fit to the data, especially in the tails of the distribution; and make the model faster in its adjustment to the new unconditional level of volatility. Further, we offer a much needed framework for specification testing as the new model nests the standard GARCH models.
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbx008
      Issue No: Vol. 15, No. 4 (2017)
       
  • Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and
           Diffusion Limits *
    • Authors: Badescu A; Cui Z, Ortega J.
      Pages: 602 - 648
      Abstract: AbstractThis paper investigates the pricing and weak convergence of an asymmetric non-affine, non-Gaussian GARCH model when the risk neutralization is based on a variance-dependent exponential linear pricing kernel with stochastic risk aversion parameters. The risk-neutral dynamics are obtained for a general setting and its weak limit is derived. We show how several GARCH diffusions, martingalized via well-known pricing kernels, are obtained as special cases and we derive necessary and sufficient conditions for the presence of financial bubbles. An extensive empirical analysis using both historical returns and options data illustrates the advantage of coupling this pricing kernel with non-Gaussian innovations.
      PubDate: 2017-07-28
      DOI: 10.1093/jjfinec/nbx022
      Issue No: Vol. 15, No. 4 (2017)
       
  • Forecasting Value-at-Risk under Temporal and Portfolio Aggregation *
    • Authors: Kole E; Markwat T, Opschoor A, et al.
      Pages: 649 - 677
      Abstract: AbstractWe examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of 10 trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly, or biweekly returns of all constituent assets separately, gathered into portfolios based on asset class, or into a single portfolio. We compare the impact of aggregation with that of choosing a model for the conditional volatilities and correlations, the distribution for the innovations, and the method of forecast construction. We find that the level of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modeling the portfolio at the asset or asset class level works better than complete portfolio aggregation, but differences are smaller. The differences from the model, distribution, and forecast choices are also smaller compared with temporal aggregation.
      PubDate: 2017-08-01
      DOI: 10.1093/jjfinec/nbx019
      Issue No: Vol. 15, No. 4 (2017)
       
 
 
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