Work

An approximate long-memory range-based approach for value at risk estimation

Year: 2018

Type: article

Source: International Journal of Forecasting

DOI: 10.1016/j.ijforecast.2017.11.007

Authors: Xiaochun Meng, James W. Taylor

Institution: University of Oxford

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2795201140

FWCI: 6.284

Cites: 43

Cited by: 33

Related to: 10