Model Averaging in Risk Management with an Application to Futures Markets
Year of publication: |
2008-01
|
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Authors: | Pesaran, M.H. ; Schleicher, C. ; Zaffaroni, P. |
Institutions: | Faculty of Economics, University of Cambridge |
Subject: | Model Averaging | Value-at-Risk | Decision Based Evaluations |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 2 pages long |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
Source: |
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, Mohammad Hashem, (2008)
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