In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

A new hyperplanes intersection simulated annealing (HISA) algorithm, based on a discrete representation of the search space as a combinatorial set of hyperplanes intersections, is developed for maximum score estimation of the binary choice model. As a prerequisite of the discrete space simulated...