Cyclical and Term Structure of Value-at-Risk within a Threshold Autoregression Setup
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- Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
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KeywordsExpected Equities Returns; Value at Risk; Financial Cycle; Holding Horizon; Threshold Autoregression;
All these keywords.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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