Article in the Press

Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup

Frédérique Bec, and Christian Gollier

Keywords

Expected equities returns; Value at Risk; Financial cycle; Investment horizon; Threshold Autoregression;

JEL codes

  • G11: Portfolio Choice • Investment Decisions

Replaces

Frédérique Bec, and Christian Gollier, Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup, IDEI Working Paper, n. 835, September 2014.

Reference

Frédérique Bec, and Christian Gollier, Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup, Revue Banque, vol. 134, 2015, pp. 5–19.

Published in

Revue Banque, vol. 134, 2015, pp. 5–19