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

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

Research output: Working paperProfessional

833 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

Cite this

Giot, P., & Laurent, S. F. J. A. (2001). Modelling daily value-at-risk using realized volatility and arch type models. METEOR, Maastricht University School of Business and Economics. METEOR Research Memorandum, No. 026 https://doi.org/10.26481/umamet.2001026