English, Article, Journal or magazine article edition: (UBS Pensions series 17) Long-Term Value at Risk Andrew Cairns; Kevin Dowd

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Bookmark: http://trove.nla.gov.au/version/45344
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • (UBS Pensions series 17) Long-Term Value at Risk
Author
  • Andrew Cairns
  • Kevin Dowd
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fmg:fmgdps:dp468
Language
  • English
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