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.

Keywords

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

JEL codes

  • G11: Portfolio Choice • Investment Decisions

Research partnership

Fédération des Banques Françaises Research Initiative

Research theme

Shadow Banking

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.