BAUWENS, Luc; BEN OMRANE, Walid; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2006
return sub ject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at … regular time intervals. For the estimation of the conditional variance from which the VaR is computed, we use univariate and …