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Intraday Value-at-Risk.
Giot, P. - Center for Operations Research and Econometrics (CORE), … - 2000
-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to …
Persistent link: https://www.econbiz.de/10005478955
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Endogenous Cycles with Long Lived Agents.
Reichlin, P. - Center for Operations Research and Econometrics (CORE), … - 1990
Persistent link: https://www.econbiz.de/10005634173
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Value-at-risk for Long and Short Trading Positions.
Giot, P.; Laurent, S. - Center for Operations Research and Econometrics (CORE), … - 2001
In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the …
Persistent link: https://www.econbiz.de/10005669280