Resource title

Long-term value at risk

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Resource description

This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts over longer horizons.

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en

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application/pdf

Resource resource URL

http://eprints.lse.ac.uk/24867/1/dp468.pdf

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