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Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management

M. Hashem Pesaran

Publication Data

Title Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management
Author M. Hashem Pesaran
Contributors Paolo Zaffaroni, Centre for Economic Policy Research, Euro Area Business Cycle Network
Publisher Centre for Economic Policy Research
Publication date 2005
Publication location London
Language English

Topics

Portfolio management
Investment analysis
Risk management

Catalogue Data

OBNB ID GBA618241
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 26 p.
P1042 Includes bibliographical references.

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Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management by M. Hashem Pesaran. Published by Centre for Economic Policy Research in 2005. Publication and catalogue information, links to buy online and reader comments.