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15-140/III - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

  • Authors
    Erik Kole, Erasmus University Rotterdam, the Netherlands; Thijs Markwat, Robeco Asset Management, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands
  • Publication date
    January 4, 2015
  • Keywords
    forecast evaluation, aggregation, Value-at-Risk, model comparison
  • JEL
    C22, C32, C52, C53, G17