McMILLAN, DAVID G.; SPEIGHT, ALAN E. H. - In: International Review of Finance 7 (2007) 1-2, pp. 1-19
This paper extends research concerned with the evaluation of alternative volatility forecasting methods under value at risk (VaR) modeling in the context of the Basle Committee adequacy criteria by broadening the class of generalized autoregressive conditional heteroscedasticity models, to...