Modelling daily Value-at-Risk using realized volatility and ARCH type models

Pierre Giot and Sébastien Laurent

Journal of Empirical Finance, 2004, vol. 11, issue 3, 379-398

Date: 2004
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Citations: View citations in EconPapers (226)

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Working Paper: Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)
Working Paper: Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398

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