Ze-To, Samuel Yau Man - In: Applied Economics 44 (2012) 21, pp. 2729-2741
This article proposes a new methodology for measuring Value-at-Risk (hereafter VaR) using a model that incorporates both volatility and jumps. Heath--Jarrow--Morton (HJM) model has been used for the valuation of interest rate derivatives. This study extends the use of HJM model to the estimation...