Model averaging in risk management with an application to futures markets
M. Hashem Pesaran; Christoph Schleicher; Paolo Zaffaroni
| Year of publication: |
2009
|
|---|---|
| Authors: | Pesaran, M. Hashem ; Schleicher, Christoph ; Zaffaroni, Paolo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 16.2009, 2, p. 280-305
|
| Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Futures | Welt | World | 1991-2007 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003839329