Degiannakis, Stavros; Kiohos, Apostolos - In: Journal of Economic Studies 41 (2014) 2, pp. 216-232
Purpose – The Basel Committee regulations require the estimation of value-at-risk (VaR) at 99 percent confidence level for a ten-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically...
