We study alternative specifications of conditional quantile models that are used to estimate Value at Risk (VaR). Our proposed specifications include the incorporation of a slow moving component in the quantile process, along with recent aggregate returns as regressors. We consider a range of...

The adoption of pension funds in the Italian social security policy has increased the offer of several investment funds. Workers have to decide what kind of investment to perform, the funds having a different composition and a subsequently different degree of risk. In this paper we propose the...