Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, C.; Zaffaroni, P.

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Authors

Pesaran, M. Hashem

Schleicher, C.

Zaffaroni, P.

Publication Date

2008-02

Series

Cambridge Working Papers in Economics

Publisher

Faculty of Economics

Type

Working Paper

Metadata

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Citation

Pesaran, M. H., Schleicher, C., & Zaffaroni, P. (2008). Model Averaging in Risk Management with an Application to Futures Markets. https://doi.org/10.17863/CAM.5258

Keywords

Model Averaging, Value-at-Risk, Decision Based Evaluations

Identifiers

CWPE0808

This record's DOI: https://doi.org/10.17863/CAM.5258

This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229399 https://www.repository.cam.ac.uk/handle/1810/229399

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Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/