Asai, Manabu; Brugal, Iván - In: Applied Financial Economics 22 (2012) 6, pp. 461-470
The article suggests a simple but effective approach for estimating value-at-risk thresholds using range data, working with the filtered historical simulation. For this purpose, we consider asymmetric heterogeneous Autoregressive Moving Average (ARMA) model for log-range, which captures the...