Work

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

Year: 2005

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.642681

Authors: M. Hashem Pesaran, P. Zaffaroni

Institutions: University of Southern California, Bank of Italy, Imperial College London

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2155268103

Cites: 50

Cited by: 34

Related to: 10