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Modelling daily Value-at-Risk using realized volatility and ARCH type models
Giot, Pierre; Laurent, Sebastien - In: Journal of Empirical Finance 11 (2004) 3, pp. 379-398
Persistent link: https://www.econbiz.de/10005199029
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Central bank interventions and jumps in double long memory models of daily exchange rates
Beine, Michel; Laurent, Sebastien - In: Journal of Empirical Finance 10 (2003) 5, pp. 641-660
Persistent link: https://www.econbiz.de/10005199055