Term structure of risk under alternative econometric specifications

DOI10.1016/j.jeconom.2005.01.033zbMath1337.91145MaRDI QIDQ292020

Massimo Guidolin, Allan G. Timmermann

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://research.stlouisfed.org/wp/2005/2005-001.pdf

zbMATH Keywords

simulation methods; nonlinear econometric models; term structure of risk

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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