Value-at-Risk for long and short trading positions

Pierre Giot and Sébastien Laurent

No 1707, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2003-01-01
Note: In : Journal of Applied Econometrics, 18, 641-664, 2003.
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Related works:
Journal Article: Value-at-risk for long and short trading positions (2003)
Working Paper: Value-at-risk for long and short trading positions (2001)
Working Paper: VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS (2001)
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