Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014

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Date: 2014-01-20 03:59:19 Mathematical finance Financial risk Economy Finance Money Actuarial science Technical analysis Volatility Autoregressive conditional heteroskedasticity Market risk RiskMetrics Value at risk		Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014 Add to Reading List Source URL: www.wiwi.uni-passau.de Download Document from Source Website File Size: 1,05 MB Share Document on Facebook

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