Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
- Casarin, R.
- Chang, C.-L.
- Jimenez-Martin, J.-A.
- McAleer, M.
- Pérez-Amaral, T.
Journal:
Mathematics and Computers in Simulation
ISSN: 0378-4754
Year of publication: 2013
Volume: 94
Pages: 183-204
Type: Article
