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Keywords: Value-at-Risk (VaR)
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2018) 19 (5): 524–547.
Published: 31 October 2018
... dimensionality and save substantial computational time. Third, the authors validate the model with selected VIX futures maturities and test on value-at-risk (VAR) computations. Findings The authors show that the use of multiple factors has a significant impact on the simulated VIX futures distribution...
