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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/27886

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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