Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank …. All four business lines are involved in securities trading and each is observed daily for a period of at least two years …School of Economics and Management
Aarhus University
Bartholins Allé 10, Building 1322, DK-8000 Aarhus C
Denmark …