Mzoughi, Hela; Mansouri, Faysal - In: The Empirical Econometrics and Quantitative Economics … 2 (2013) 1, pp. 59-70
The article investigates the long memory effect on risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). In addition to a more realistic representation of data, our results affirm that much more reliable conclusions will certainly be drown if a more classes of Copula...
