مرکز منطقه ای اطلاع رساني علوم و فناوري - Modelling daily Value-at-Risk using realized volatility and ARCH type models

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 :

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 :