Horizon Problems and Extreme Events in Financial Risk Management
Preprint
- 1 April 1998
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Is volatility forecastability important for long-horizon risk management, or is a traditional constant-volatility assumption adequate? In this paper, the authors address this question, exploring the interface between long-horizon financial risk management and long-horizon volatility forecastability and, in particular, whether long-horizon volatility is forecastable enough such that volatility models are useful for long-horizon risk management.Keywords
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