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| First Page | Document Content | |
|---|---|---|
 Date: 2014-01-20 03:59:19Mathematical finance Financial risk Economy Finance Money Actuarial science Technical analysis Volatility Autoregressive conditional heteroskedasticity Market risk RiskMetrics Value at risk |
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Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014 | Ann Inst Stat Math:621–637 DOIs10463x Parameter change test for autoregressive conditional duration models Sangyeol Lee1 · Haejune Oh1DocID: 1rjRw - View Document |
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