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Asymmetric technological uncertainty and international trade in the presence of risk-sharing arrangements
Ishii, Yasunori - In: Journal of economics 46 (1986) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001012105
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
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 …
Persistent link: https://www.econbiz.de/10011431503
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
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The investment horizon problem : a resolution
Aase, Knut K. - 2009
Persistent link: https://www.econbiz.de/10003879036
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Aggregation of heterogeneous beliefs and asset pricing theory : a mean-variance analysis
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - 2006
Persistent link: https://www.econbiz.de/10003407922
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Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of banking & finance 37 (2013) 5, pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
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Risk aggregation with dependence uncertainty
Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108
Persistent link: https://www.econbiz.de/10010259666
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Businesses risks aggregation with Copula
Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72
Persistent link: https://www.econbiz.de/10010337911
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Aggregation of preferences for skewed asset returns
Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489
Persistent link: https://www.econbiz.de/10010481322
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Steuerung von Preis- und Kreditrisiken bei dezentraler Organisation
Bühler, Wolfgang; Birn, Martin - 2002
Persistent link: https://www.econbiz.de/10001639862