A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

Stavros Degiannakis, Pamela Dent and Christos Floros

Manchester School, 2014, vol. 82, issue 1, 71-102

Date: 2014
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Working Paper: A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification (2014)
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