Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

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

Research output: Working paperAcademic

Original languageEnglish
Place of PublicationRotterdam
Number of pages30
Publication statusPublished - 2011

Publication series

SeriesEI report series
VolumeEI 2011-11

Research programs

  • EUR ESE 31

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