Modelling daily Value-at-Risk using realized volatility and ARCH type models
| Year of publication: |
2004
|
|---|---|
| Authors: | Giot, Pierre ; Laurent, Sebastien |
| Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 11.2004, 3, p. 379-398
|
| Publisher: |
Elsevier |