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~person:"Gollier, Christian"
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Expected equities returns
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Threshold Autoregression
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Value at Risk
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Gollier, Christian
Bec, Frédérique
9
Misiorek, Adam
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Coakley, Jerry
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Weron, Rafal
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Bessec, Marie
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Bouabdallah, Othman
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Bec, F.
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Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE)
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ECONIS (ZBW)
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Cyclicality and term structure of value‐at‐risk within a
threshold
autoregression
setup
Bec, Frédérique
;
Gollier, Christian
-
2014
Persistent link: https://www.econbiz.de/10010415730
Saved in:
2
Cyclicality and term structure of Value-at-Risk within a
threshold
autoregression
setup
Bec, Frédérique
;
Gollier, Christian
-
Institut d'Économie Industrielle (IDEI), Toulouse …
-
2014
across various holding horizons. The econometric analysis is based on a self-exciting
threshold
autoregression
setup. Using …
Persistent link: https://www.econbiz.de/10010934676
Saved in:
3
Cyclicality and term structure of Value-at-Risk within a
threshold
autoregression
setup
Bec, Frédérique
;
Gollier, Christian
-
Toulouse School of Economics (TSE)
-
2014
across various holding horizons. The econometric analysis is based on a self-exciting
threshold
autoregression
setup. Using …
Persistent link: https://www.econbiz.de/10010934776
Saved in:
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