This paper investigates the estimation of a 10-day value-at-risk (VaR) based on a data set of 250 daily values. The commonly used square-rootof-time rule, which scales the one-day 99% VaR with a ...
In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
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