Collaborative Research: Measuring Risk in Financial Asset Markets

9310683纳尔逊这个合作项目继续了一系列研究，旨在开发更好的金融市场风险衡量标准。调查人员已经开发了许多有希望的程序来表征资产市场的时变风险。研究人员和实践者为适应这种时变风险而采用的两种最受欢迎的策略是滚动回归和ARCH模型。这一奖项将进行的研究将涉及这两种战略的进一步发展和完善。这一持续的研究非常有价值，因为衡量资产风险对投资理论和实践都具有根本性的重要性。*9310331培育这个合作项目继续进行一系列研究，旨在开发更好的金融市场风险衡量标准。调查人员已经开发了许多有希望的程序来表征资产市场的时变风险。研究人员和实践者为适应这种时变风险而采用的两种最受欢迎的策略是滚动回归和ARCH模型。这一奖项将进行的研究将涉及这两种战略的进一步发展和完善。这一持续的研究非常有价值，因为衡量资产风险对投资理论和实践都具有根本性的重要性。***

9310683 Nelson This collaborative project continues a line of research aimed at developing better measures of risk in financial markets. The investigators have already developed a number of promising procedures for characterizing time-varying risk in asset markets. Two of the most popular strategies adopted by researchers and practitioners to accommodate this time- varying risk are rolling regressions and ARCH models. The research to be undertaken with this award will involve further development and refining of both these strategies. This continued line of research is extremely valuable because measuring asset riskiness is of fundamental importance both for investment theory and practice. *** 9310331 Foster This collaborative project continues a line of research aimed at developing better measures of risk in financial markets. The investigators have already developed a number of promising procedures for characterizing time-varying risk in asset markets. Two of the most popular strategies adopted by researchers and practitioners to accommodate this time- varying risk are rolling regressions and ARCH models. The research to be undertaken with this award will involve further development and refining of both these strategies. This continued line of research is extremely valuable because measuring asset riskiness is of fundamental importance both for investment theory and practice. ***