Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

Cherif Guermat, Richard DF Harris

Research output: Contribution to journalArticle (Academic Journal)

Original languageUndefined/Unknown
Pages (from-to)409-419
Number of pages11
JournalInternational Journal of Forecasting
Volume18
Issue number3
Publication statusPublished - 2002

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