Showing 1 - 10 of 631,505
Persistent link: https://www.econbiz.de/10008841977
Persistent link: https://www.econbiz.de/10011421809
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
Persistent link: https://www.econbiz.de/10010532630
Persistent link: https://www.econbiz.de/10010382759
Persistent link: https://www.econbiz.de/10011473292
Persistent link: https://www.econbiz.de/10011508549
Persistent link: https://www.econbiz.de/10010419430
Persistent link: https://www.econbiz.de/10010480129
Persistent link: https://www.econbiz.de/10013166311