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explicit aggregation over firms. The aggregate model is estimated for the FRG. …
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An attempt is made, in these few pages, to suggest how Stefano Zambelli's economic intuition is based on the work of distinguished unorthodox (and some enlightened orthodox) economists, emphasising the connection between the long-term and the short-term and the theory of imperfect competition.
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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 …
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show how lotteries as in Rogerson (1988) can again be used to convexify consumption sets, and aggregation over individual …
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