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 ...
This paper develops an empirical likelihood approach for regular generalized autoregressive conditional heteroskedasticity (GARCH) models and GARCH models with unit roots. For regular GARCH models, it ...
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