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Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II
Fricke, Jens, (2009)
Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study
Pauly, Ralf, (2005)
Risk evaluation in financial risk management: Prediction limits and backtesting
Pauly, Ralf, (2008)