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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27886
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| Title: | Term structure of risk, the role of Known and Unknown Risks and
Non-stationary Distributions |
| Authors: | Engle, Robert
Colacito, Riccardo |
| Issue Date: | 9-Feb-2009 |
| Series/Report no.: | FIN-08-040 |
| Abstract: | In this paper we document the presence of a term structure of risk and
we propose how to measure it using alternative models to forecast
volatility and the Value at Risk at different horizons. We then quantify
the benefits of an investor that is aware of the existence of a term
structure of risk in the context of an asset allocation exercise. |
| URI: | http://hdl.handle.net/2451/27886 |
| Appears in Collections: | Finance Working Papers
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