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risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we …
Persistent link: https://www.econbiz.de/10010276170
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10010276219