Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
Casarin, Roberto, Chang, Chia-Lin, Jimenez-Martin, Juan-Angel, McAleer, Michael, Pérez-Amaral, TeodosioVolume:
94
Language:
english
Journal:
Mathematics and Computers in Simulation
DOI:
10.1016/j.matcom.2012.06.013
Date:
August, 2013
File:
PDF, 2.55 MB
english, 2013