A benchmark for measuring bias in estimated daily value at risk

International Review of Financial Analysis

Volumn 11, Issue 1, 2002, Pages 85-100

  Moosa, Imad A ^a   Bollen, Bernard ^b  

^a LA TROBE UNIVERSITY   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

GARCH; Normal distribution; Realised volatility; Value at risk

Indexed keywords

EID: 0036187079     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(01)00069-2     Document Type: Article

References (19)

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16. 2: Measuring the risk in value at risk
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