P. Zaffaroni

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

534

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (2)

Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management

Number of pages: 52 Posted: 19 Jan 2005
M. Hashem Pesaran and P. Zaffaroni
University of Southern California - Department of Economics and Imperial College London
Downloads 508 (67,433)

Abstract:

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model averaging, value-at-risk, decision based evaluation

Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management

CEPR Discussion Paper No. 5279
Number of pages: 30 Posted: 18 Nov 2005
M. Hashem Pesaran and P. Zaffaroni
University of Southern California - Department of Economics and Imperial College London
Downloads 26 (604,227)
Citation 2
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Model averaging, value-at-risk, decision-based evaluations

2.

Beta Convergence

London School of Economics WP 97-332
Posted: 09 Mar 1998
Claudio Michelacci and P. Zaffaroni
Centre for Monetary and Financial Studies (CEMFI) and Imperial College London

Abstract:

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