Forecasting Value-at-Risk with a duration-based POT method

Mathematics and Computers in Simulation 2013 / 8 Vol. 94

Forecasting Value-at-Risk with a duration-based POT method

Araújo Santos, P., Fraga Alves, M.I.
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Volume:
94
Language:
english
Journal:
Mathematics and Computers in Simulation
DOI:
10.1016/j.matcom.2012.07.016
Date:
August, 2013
File:
PDF, 679 KB
english, 2013
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