Sensitivity analysis of Values at Risk

Christian Gourieroux, Jean-Paul Laurent () and Olivier Scaillet
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Christian Gourieroux: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Jean-Paul Laurent: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, ISFA - Institut de Science Financière et d'Assurances

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Date: 2000-11
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Citations: View citations in EconPapers (14)

Published in Journal of Empirical Finance, 2000, 7 (3-4), pp.225-245. ⟨10.1016/S0927-5398(00)00011-6⟩

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Related works:
Journal Article: Sensitivity analysis of Values at Risk (2000)
Working Paper: Sensitivity Analysis of Values at Risk (2000)
Working Paper: Sensitivity Analysis of Values at Risk (2000)
Working Paper: Sensitivity Analysis of Values at Risk (2000)
Working Paper: Sensitivity analysis of values at risk (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03676327

DOI: 10.1016/S0927-5398(00)00011-6

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