HAN, CHUAN-HSIANG; LIU, WEI-HAN; CHEN, TZU-YING - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450009-1
This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...