Long-term value at risk

Kevin Dowd, David Blake and Andrew Cairns

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts over longer horizons.

JEL-codes: G00 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2003-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://eprints.lse.ac.uk/24867/ Open access version. (application/pdf)

Related works:
Journal Article: Long‐Term Value at Risk (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24867

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