پیش بینی ریسک بازار چند سری زمانی تحت حافظه بلندمدت هنگامی که ارزش در معرض خطر (VAR) بالاتر از حد انتظاراست

Received 25 July 2013Revised 2 October 2013Accepted 13 October 2013 Multiple-period market risk prediction under long memory: when VaR is higher than expected Harald Kinateder and Niklas WagnerBusiness Administration and Economics,University of Passau, Passau, Germany   AbstractPurpose – The paper aims to model multiple-period market risk forecasts under long memorypersistence in market volatility.Design/methodology/approach – The paper proposes volatility forecasts based on a ...