VaR Prediction under Long Memory in Volatility

DOI10.1007/978-3-642-20009-0_20zbMath1420.91135OpenAlexW59951876MaRDI QIDQ5232808

Harald Kinateder, Niklas Wagner

Publication date: 13 September 2019

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-20009-0_20

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Modeling volatility persistence of speculative returns: a new approach
• Temporal Aggregation of Garch Processes
• Empirical properties of asset returns: stylized facts and statistical issues
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