Modelling daily value-at-risk using realized volatility and arch type models

Pierre Giot and Sébastien Laurent

No 26, Research Memorandum from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)

Date: 2001-01-01
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Related works:
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 (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:unm:umamet:2001026

DOI: 10.26481/umamet.2001026

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