Kavussanos, Manolis G.; Dimitrakopoulos, Dimitris N. - In: International Review of Financial Analysis 20 (2011) 5, pp. 258-268
The estimation of medium-term market risk dictated by limited data availability, is a challenging issue of concern amongst academics and practitioners. This paper addresses the issue by exploiting the concepts of volatility and quantile scaling in order to determine the best method for...