Guegan, Dominique; Zhao, Xin - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
In this paper, we propose an alternative approach to estimate long-term risk. Instead of using the static square root … improving the estimations by different models and distributions. By comparing the estimations of two risk measures, value at … risk and expected shortfall, with different models and innovations at short, median and long-term horizon, we find out that …