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"Forecasting Value-at-Risk in turbulent stock markets via the local ..."

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese (2022)

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DOI: 10.1007/S10287-021-00412-W

access: closed

type: Journal Article

metadata version: 2022-02-08

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Massimiliano Frezza, Sergio Bianchi, Augusto Pianese:
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. Comput. Manag. Sci. 19(1): 99-132 (2022)

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