Forecasting Value-at-Risk under temporal and portfolio aggregation

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

doi:10.1093/jjfinec/nbx019

Forecasting Value-at-Risk under temporal and portfolio aggregation

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

Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

13 Citations (Scopus)

73 Downloads (Pure)

Original language	English
Pages (from-to)	649-677
Number of pages	29
Journal	Journal of Financial Econometrics
Volume	15
Issue number	4
DOIs	https://doi.org/10.1093/jjfinec/nbx019
Publication status	Published - 1 Aug 2017

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title = "Forecasting Value-at-Risk under temporal and portfolio aggregation",

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Forecasting Value-at-Risk under temporal and portfolio aggregation

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