Time-scale transformations: Effects on VaR models

DOI10.1007/978-3-540-25944-2_101MaRDI QIDQ5712711zbMATH OpenOpenAlexFDO

Authors Fabio Lamantia, Sergio Ortobelli, Svetlozar T. Rachev

Publication date 23 December 2005

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/b98005

Mathematics Subject Classification ID

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• Temporal aggregation of equity return time-series models

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