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 paper › Academic

Series	EI report series
Volume	EI 2011-11

Research programs

TY - UNPB

T1 - Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

AU - Chang, C-L (Chia-Lin)

AU - Jimenez-Martin, J-A

AU - McAleer, Michael

AU - Perez-Amaral, T

PY - 2011

Y1 - 2011

M3 - Working paper

T3 - EI report series

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

CY - Rotterdam

ER -