Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

In this paper we document the presence of a term structure of risk and we propose how to measure it using alternative models to forecast volatility and the Value at Risk at different horizons. We then quantify the benefits of an investor that is aware of the existence of a term structure of risk in the context of an asset allocation exercise

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Year of publication:	[2012]
Authors:	Colacito, Ric
Other Persons:	Engle, Robert F. (contributor)
Publisher:	[2012]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (25 p)
Series:	NYU Working Paper ; No. FIN-08-040
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2009 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012754875