Banulescu, Denisa Georgiana; Colletaz, Gilbert; Hurlin, … - HAL - 2013
-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per-time …, these measures are completed with a duration risk measure, i.e., the time-at-risk (TaR). We propose a forecasting procedure …