Skip to Main Content
Keywords: Multiple-period value-at-risk
Close
Follow your search
Access your saved searches in your account

Would you like to receive an alert when new items match your search?
Close Modal
Sort by
Journal Articles
Journal of Risk Finance (2014) 15 (1): 4–32.
Published: 28 January 2014
... empirical evidence suggests that the autocorrelation of asset returns is typically close to zero, dependence in absolute and squared returns behaves remarkably different. GARCH Hurst exponent Long memory Multiple-period value-at-risk Square-root-of-time rule Volatility scaling Ding et...

or Create an Account

Close Modal
Close Modal