On time-scaling of risk and the square-root-of-time rule

Journal of Banking and Finance

Volumn 30, Issue 10, 2006, Pages 2701-2713

  Daníelsson, Jón ^a   Zigrand, Jean Pierre ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Jump diffusions; Risk regulation; Square root of time rule; Systemic risk; Time scaling of risk; Value at risk

Indexed keywords

EID: 33747380638     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.10.002     Document Type: Article

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