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The forecast evaluation literature has traditionally focused on methods for assessing point-forecasts. However, in the … evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk quantity. The … context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value …
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practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …
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practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …
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Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
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