Multiple-period market risk prediction under long memory: when VaR is higher than expected
Year of publication: |
2014
|
---|---|
Authors: | Kinateder, Harald ; Wagner, Niklas |
Published in: |
Journal of Risk Finance. - Emerald Group Publishing. - Vol. 15.2014, January, 1, p. 4-32
|
Publisher: |
Emerald Group Publishing |
Subject: | GARCH | Hurst exponent | Long memory | Multiple-period value-at-risk | Square-root-of-time rule | Volatility scaling |
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