Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

Journal of Empirical Finance

Volumn 14, Issue 2, 2007, Pages 248-259

  Wu, Ping Tsung ^a   Shieh, Shwu Jane ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

Daily price limits; FIGARCH(1,d,1); Kupiec LR test; Long memory; Value at Risk

Indexed keywords

EID: 33847335034     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.02.001     Document Type: Article

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