Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

Bias in the estimation of non-linear transformations of the integrated variance of returns

Harris, Richard D. F., (2003)

Bias in the estimation of non-linear transformations of the integrated variance of returns

Guermat, Cherif, (2006)

Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

Guermat, Cherif, (2002)