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

P. Giot, S.F.J.A. Laurent

Research output: Working paperProfessional

886 Downloads (Pure)
Original languageEnglish
Place of PublicationMaastricht
PublisherMETEOR, Maastricht University School of Business and Economics
DOIs
Publication statusPublished - 1 Jan 2001

Publication series

SeriesMETEOR Research Memorandum
Number026

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