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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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)|
|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
|Date Deposited:||13 Aug 2009 16:11|
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