Forecasting Value-at-Risk under temporal and portfolio aggregation

Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor, Dick van Dijk

Research output: Contribution to journalArticleAcademicpeer-review

9 Citations (Scopus)
3 Downloads (Pure)
Original languageEnglish
Pages (from-to)649-677
Number of pages29
JournalJournal of Financial Econometrics
Volume15
Issue number4
DOIs
Publication statusPublished - 1 Aug 2017

Cite this