Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

  • CONSISTENT ESTIMATION OF THE VALUE AT RISK
  • Mohamed El Ghourabi, Christian Francq, Fedya Telmoudi
  • Journal of Time Series Analysis, May 2015, Wiley
  • DOI: 10.1111/jtsa.12136

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http://dx.doi.org/10.1111/jtsa.12136

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