Long-term value at risk
Dowd, K., Blake, D. & Cairns, A.
(2003).
Long-term value at risk.
(Financial Markets Group Discussion Papers 468).
Financial Markets Group, The London School of Economics and Political Science.
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 | Working paper |
|---|---|
| Copyright holders | © 2003 The Authors |
| Departments | LSE > Research Centres > Financial Markets Group |
| Date Deposited | 13 Aug 2009 |
| URI | https://researchonline.lse.ac.uk/id/eprint/24867 |