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

Pierre Giot and Sébastien Laurent

No 1708, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2004-01-01
Note: In : Journal of Empirical Finance, 11, 379-398, 2004.
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Journal Article: 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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