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A random walk, Markov model for the distribution of time series

Litterman, Robert Bruce - In: Journal of business & economic statistics : JBES ; a … 1 (1983) 2, pp. 169-173

Persistent link: https://www.econbiz.de/10003619412

Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms

Shepheard-Walwyn, Tim - 2007

In this paper, the authors consider how risk measures, based on internal models of this type, might be integrated into a firm's own methodology for allocating risk capital to its individual business units and for determining its optimal capital structure. They also consider the implications of...

Persistent link: https://www.econbiz.de/10012728626

Money, real interest rates, and output : a reinterpretation of postwar U.S. data

Litterman, Robert Bruce; Weiss, Laurence M. - In: Econometrica : journal of the Econometric Society, an … 53 (1985) 1, pp. 129-156

Persistent link: https://www.econbiz.de/10002376042

Techniques of forecasting using vector autoregressions

Litterman, Robert Bruce - 1979

Persistent link: https://www.econbiz.de/10002376127

[Besprechung von:] Evaluating the reliability of macro-economic models. Chichester, New York [u.a.] 1982. - [A] Wiley-Interscience [Publication]

Litterman, Robert B. - In: Journal of economic literature 22 (1984) 3, pp. 1129-1131

Persistent link: https://www.econbiz.de/10002375979

A use of index models in macroeconomic forecasting

Litterman, Robert B. - In: Applied time series analysis of economic data, (pp. 261-277). 1983

Persistent link: https://www.econbiz.de/10002376148

ENERGY & ENVIRONMENT - What Is the Right Price for Carbon Emissions? - The unknown potential for devastating effects from climate change complicates pricing.

Litterman, Bob - In: Regulation : the Cato review of business and government 36 (2013) 2, pp. 38-42

Persistent link: https://www.econbiz.de/10010153758

Investment management - Understanding variations in the risk of multi-strategy portfolios

Jiang, Gang; Litterman, Bob; Rosengarten, Jacob - In: Risk : managing risk in the world's financial markets 18 (2005) 2, pp. 59-66

Persistent link: https://www.econbiz.de/10007024445

Review - The author's Modern Investment Management: An Equilibrium Approach.

Litterman, Bob - In: Risk : managing risk in the world's financial markets 17 (2004) 4, pp. 76

Persistent link: https://www.econbiz.de/10007028176

Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38

Litterman, Robert - In: International Journal of Forecasting 2 (1986) 4, pp. 497-498

Persistent link: https://www.econbiz.de/10005428704