Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models
Year: 2003
Type: preprint
Source: SSRN Electronic Journal
DOI: 10.2139/ssrn.362460
Authors: Pierre Giot, Sébastien Laurent
Institutions: University of Namur, Aix-Marseille Sciences Economiques
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1481209057