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Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
Guermat, Cherif; Harris, Richard D. F. - In: International journal of forecasting 18 (2002) 3, pp. 409-419
Persistent link: https://www.econbiz.de/10001690084
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Estimation of the conditional variancecovariance matrix of returns using the intraday range
Harris, Richard D. F.; Yilmaz, Fatih - In: International journal of forecasting 26 (2010) 1, pp. 180-194
Persistent link: https://www.econbiz.de/10003952376
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Long memory conditional volatility and asset allocation
Harris, Richard D. F.; Nguyen, Anh - In: International journal of forecasting 29 (2013) 2, pp. 258-273
Persistent link: https://www.econbiz.de/10009743418