Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
| Year of publication: |
2002-07-01
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| Authors: | Giot, Pierre ; Laurent, Sébastien |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Value-at-Risk | Realized volatility | skewed Student distribution |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 52 |
| Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
| Source: |
Persistent link: https://www.econbiz.de/10005706602