Gamba-Santamaria, Santiago; Jaulin-Mendez, Oscar Fernando; … - In: Studies in Economics and Finance 33 (2016) 4, pp. 595-624
Purpose Value at risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities, and various methods are proposed in the literature for its estimation. However, limited studies discuss its distribution or its confidence intervals. The purpose of this paper is...