Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

✍ Scribed by Ping-Tsung Wu; Shwu-Jane Shieh

• Book ID: 116641585
• Publisher: Elsevier Science
• Year: 2007
• Tongue: English
• Weight: 248 KB
• Volume: 14
• Category: Article
• ISSN: 0927-5398
• DOI: 10.1016/j.jempfin.2006.02.001