Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Engle, Robert | - |
| dc.contributor.author | Colacito, Riccardo | - |
| dc.date.accessioned | 2009-02-09T19:17:26Z | - |
| dc.date.available | 2009-02-09T19:17:26Z | - |
| dc.date.issued | 2009-02-09T19:17:26Z | - |
| dc.identifier.uri | http://hdl.handle.net/2451/27886 | - |
| dc.description.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. | en |
| dc.format.extent | 622366 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation.ispartofseries | FIN-08-040 | en |
| dc.title | Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions | en |
| dc.type | Working Paper | en |
| Appears in Collections: | Finance Working Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| wpa08040.pdf | 607.78 kB | Adobe PDF | View/Open |
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