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Munich Personal RePEc Archive

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Jump to: 2013 | 2014
Number of items: 2.

2013

Degiannakis, Stavros and Floros, Christos and Dent, Pamela (2013): Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence. Published in: International Review of Financial Analysis No. 27 (2013): pp. 21-33.

2014

Degiannakis, Stavros and Dent, Pamela and Floros, Christos (2014): A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. Published in: The Manchester School , Vol. 1, No. 82 (2014): pp. 71-102.

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