Starting from a day-to-day model on hotel specific guest nights we obtain an integer-valued moving average model by cross-sectional and temporal aggregation, The two parameters of the aggregate model reflect mean check-in and the check-out probability. Letting the parameters be functions of...

We argue that the practise of valuing the portfolio is important for the calculation of the V aR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the V aR and in an empirical...