مرکز منطقه ای اطلاع رساني علوم و فناوري - Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

Title of article :

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

Author/Authors :

Ping-Tsung Wu، نويسنده , , Shwu-Jane Shieh، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2007

Pages :

From page :

248

To page :

259

Keywords :

Kupiec LR test , d , Daily price limits , Value-at-Risk , Long memory , FIGARCH(1 , 1)

Journal title :

Journal of Empirical Finance

Serial Year :

2007

Journal title :

Journal of Empirical Finance

Record number :

130852

Link To Document :