Title of article
Modelling daily Value-at-Risk using realized volatility and ARCH type models
Author/Authors
Pierre Giot، نويسنده , , Sebastien Laurent، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2004
Pages
20
From page
379
To page
398
Keywords
Value-at-Risk , Realized volatility , Skewed student distribution , APARCH
Journal title
Journal of Empirical Finance
Serial Year
2004
Journal title
Journal of Empirical Finance
Record number
130771
Link To Document