Wang, Jying-Nan; Yeh, Jin-Huei; Cheng, Nick Ying-Pin - In: Journal of Banking & Finance 35 (2011) 5, pp. 1158-1169
The square-root-of-time rule (SRTR) is popular in assessing multi-period VaR; however, it makes several unrealistic assumptions. We examine and reconcile different stylized factors in returns that contribute to the SRTR scaling distortions. In complementing the use of the variance ratio test, we...