Risk management of risk under the Basel accord: forecasting value-at-risk of VIX futures

Chia-Lin Chang; Juan-Ángel Jiménez-Martín; Michael McAleer; Teodosio Pérez-Amaral

Year of publication:	2011
Authors:	Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez Amaral, Teodosio
Publisher:	Rotterdam : Econometric Institute
Subject:	Bank \| Basler Akkord \| Basel Accord \| Derivat \| Derivative \| Risikomaß \| Risk measure

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