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 …

of our model provide to the accuracy of point and density nowcasts, in particular the role of hierarchical aggregation … constraints. We show that these aggregation constraints, imposed in stochastic form, play a key role in delivering improved …

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 …

to cope with the lack of theory behind ACR drivers, we implement state-of-the-art variable selection algorithms to draw …

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature …

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature …

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic …, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly …