Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International Review of Financial Analysis 30 (2013) C, pp. 36-45
It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the...
