Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and … real growth volatilities. Throughout, we strive not only to deepen our scientic understanding of market risk, but also …