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In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...
Persistent link: https://www.econbiz.de/10005123557
. Indeed, this enforces a form of shrinkage on the weights which ensures good out-of-sample performance of the combined …
Persistent link: https://www.econbiz.de/10011083557