We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

-founded representation obtained from explicit aggregation over homogeneous individuals again features different disutility of labor across …

show how lotteries as in Rogerson (1988) can again be used to convexify consumption sets, and aggregation over individual …

aggregation over homogeneous individuals features different disutility of labor across the two sectors, which is in line with the … observed difference in average wage rates (OECD 2011). This theory-based utility function could be then utilized to study labor …

in Rogerson (1988) can again be used to convexify consumption sets, and we perform aggregation over individual …

aggregation over homogeneous individuals features different disutility of labor across the two sectors, which is in line with the … observed difference in average wage rates (OECD 2011). This theory-based utility function could be then utilized to study labor …

show how lotteries as in Rogerson (1988) can again be used to convexify consumption sets, and aggregation over individual …