Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
Year of publication: |
2014-09
|
---|---|
Authors: | Bec, Frédérique ; Gollier, Christian |
Institutions: | Toulouse School of Economics (TSE) |
Subject: | Expected equities returns | Value at Risk | Financial cycle | Investment horizon | Threshold Autoregression |
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