Article dans la presse
Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
Frédérique Bec et Christian Gollier
Revue Banque
vol. 134, 2015, p. 5–19
Référence
Frédérique Bec et Christian Gollier, « Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup », Revue Banque, vol. 134, 2015, p. 5–19.
Mots-clés
Expected equities returns; Value at Risk; Financial cycle; Investment horizon; Threshold Autoregression;
Codes JEL
- G11: Portfolio Choice • Investment Decisions
Partenaire de recherche
Shadow Banking
Remplace
Frédérique Bec et Christian Gollier, « Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup », IDEI Working Paper, n° 835, septembre 2014.