Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management

Mohammad Pesaran, Paolo Zaffaroni and Banca d'Italia)

Money Macro and Finance (MMF) Research Group Conference 2004 from Money Macro and Finance Research Group

Date: 2004-09-17
New Economics Papers: this item is included in nep-cmp and nep-fin
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Citations: View citations in EconPapers (12)

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http://repec.org/mmfc04/101.pdf (application/pdf)

Related works:
Working Paper: Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management (2005)
Working Paper: Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management (2004)
Working Paper: Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc04:101

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