Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

R Casarin, C-L (Chia-Lin) Chang, J-A Jimenez-Martin, Michael McAleer, T Perez-Amaral

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Original languageEnglish
Place of PublicationRotterdam
Number of pages46
EditionEI report serie EI 2011-29
Publication statusPublished - 2011

Publication series

SeriesEI report serie
VolumeEI 2011-29

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