Empirical issues in value at risk estimation: Time varying volatility, fat tails and parameter uncertainty

D. Bams, J.L. Wielhouwer

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-review

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@inbook{a447466343574e68a4e9d63bc17e1e78,

title = "Empirical issues in value at risk estimation: Time varying volatility, fat tails and parameter uncertainty",

author = "D. Bams and J.L. Wielhouwer",

year = "2000",

language = "English",

pages = "29--50",

editor = "R. Norberg and D. Wilkie",

booktitle = "Proceedings AFIR 2000",

publisher = "Section Finance de l'AAI",

}