Work

Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

Year: 2006

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2006.02.001

Authors: Ping-Tsung Wu, Shwu-Jane Shieh

Institution: National Chengchi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2014339562

FWCI: 4.537

Cites: 15

Cited by: 70

Related to: 10