Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
Year of publication: |
2005-10
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Authors: | Pesaran, M Hashem ; Zaffaroni, Paolo |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | decision-based evaluations | model averaging | value-at-risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 5279 |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
Source: |
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Pesaran, Mohammad Hashem, (2004)
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, Mohammad Hashem, (2008)
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M.H., (2008)
- More ...
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Forecasting Time Series Subject to Multiple Structural Breaks
Pesaran, M Hashem, (2004)
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Pesaran, M Hashem, (2004)
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Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
Pesaran, M Hashem, (2004)
- More ...