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