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Forecasting Value-At-Risk with a Duration-Based Pot Method

AuthID
P-008-HJD

Author(s)

Araujo Santos, PA

Fraga Alves, MIF

Document Type

Article

Year published

2013

Published

in MATHEMATICS AND COMPUTERS IN SIMULATION, ISSN: 0378-4754

Volume: 94, Pages: 295-309 (15)

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Publication Identifiers

DOI: 10.1016/j.matcom.2012.07.016

Scopus: 2-s2.0-84888324813

Wos: WOS:000328296700017

Source Identifiers

ISSN: 0378-4754

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Forecasting Value-At-Risk with a Duration-Based Pot Method

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Forecasting Value-At-Risk with a Duration-Based Pot Method

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