Dowd, Kevin, Blake, David and Cairns, Andrew (2003) Long-term value at risk. Discussion paper: UBS Pensions Series 017, 468. Financial Markets Group, 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) |
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| Official URL: | http://fmg.lse.ac.uk |
| Additional Information: | © 2003 The Authors |
| Library of Congress subject classification: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Collections > LSE Financial Markets Group (FMG) Working Papers |
| Identification Number: | 468 |
| Date Deposited: | 13 Aug 2009 16:11 |
| URL: | http://eprints.lse.ac.uk/24867/ |
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