explicit aggregation over firms. The aggregate model is estimated for the FRG. …

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 …

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

regional aggregation (Jacobs-Crisioni et al., 2014; Kang et al., 2014, Baltagi, Li, 2014). Currently, hierarchical models can … 2011years are used. We also include two levels of data aggregation: into 12 economic regions and into 8 federal districts … regional aggregation. H2: The estimation results of spatial-econometric models depend on the choice of the method of estimation …

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 …

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