Term structure of risk under alternative econometric specifications

Massimo Guidolin, Allan Timmermann

Research output: Contribution to journalArticlepeer-review


This paper characterizes the term structure of risk measures such as value at risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with Student-t errors, two-component GARCH models and a nonparametric bootstrap. We show how to derive the risk measures for each of these models and document large variations in term structures across econometric specifications. An out-of-sample forecasting experiment applied to stock, bond and cash portfolios suggests that the best model is asset- and horizon specific but that the bootstrap and regime switching model are best overall for VaR levels of 5% and 1%, respectively. © 2005 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)285-308
Number of pages23
JournalJournal of Econometrics
Issue number1-2
Publication statusPublished - Mar 2006


  • Nonlinear econometric models
  • Simulation methods
  • Term structure of risk


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