Modelling daily Value-at-Risk using realized volatility and ARCH type models.
| Authors: | GIOT, Pierre ; LAURENT, Sébastien |
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| Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
| Extent: | text/plain |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | In : Journal of Empirical Finance, 11, 379-398, 2004. Number -1708 |
| Other identifiers: | 10.1016/j.jempfin.2003.04.003, [DOI] |
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Persistent link: https://www.econbiz.de/10010704114