Skip to Main content Skip to Navigation
Journal articles

Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup

Document type :
Journal articles
Complete list of metadata

https://hal-cyu.archives-ouvertes.fr//hal-02980012
Contributor : Cybu Recherche Connect in order to contact the contributor
Submitted on : Tuesday, October 27, 2020 - 1:25:00 PM
Last modification on : Tuesday, October 19, 2021 - 11:43:50 AM

Identifiers

  • HAL Id : hal-02980012, version 1

Citation

Frédérique Bec. Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2015, pp.5-19. ⟨hal-02980012⟩

Share

Metrics

Les métriques sont temporairement indisponibles