Title of article
Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations
Author/Authors
Ping-Tsung Wu، نويسنده , , Shwu-Jane Shieh، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2007
Pages
12
From page
248
To page
259
Keywords
Kupiec LR test , d , Daily price limits , Value-at-Risk , Long memory , FIGARCH(1 , 1)
Journal title
Journal of Empirical Finance
Serial Year
2007
Journal title
Journal of Empirical Finance
Record number
130852
Link To Document