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Long-term value at risk

Dowd, Kevin, Blake, David and Cairns, Andrew (2003) Long-term value at risk. Financial Markets Group Discussion Papers (468). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

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.

Item Type: Monograph (Discussion Paper)
Official URL: https://www.fmg.ac.uk/
Additional Information: © 2003 The Authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: G - Financial Economics > G0 - General > G00 - General
Date Deposited: 13 Aug 2009 16:11
Last Modified: 13 Sep 2024 19:50
URI: http://eprints.lse.ac.uk/id/eprint/24867

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