Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Year of publication: |
2004
|
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Authors: | Pesaran, Mohammad Hashem ; Zaffaroni, Paolo |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | Risikomanagement | Value at Risk | Portfolio-Management | Optionspreistheorie | Modell-Spezifikation | model averaging | value-at-risk | decision based evaluation |
Series: | CESifo Working Paper ; 1358 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 477506631 [GVK] hdl:10419/18721 [Handle] |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; C52 - Model Evaluation and Testing |
Source: |
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