This paper proposes a unified framework to analyse the theoretical properties of forecast combination. The proposed framework not only is useful for deriving all existing results with ease but also provides important insights into two unresolved puzzles of forecast combination. Specifically,...

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...