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Journal Articles Bankers Markets & Investors : an academic & professional review Year : 2015

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

Frédérique Bec
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Théorie économique, modélisation et applications

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Humanities and Social Sciences Economics and Finance

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https://hal-cyu.archives-ouvertes.fr/hal-02980012

Submitted on : Tuesday, October 27, 2020-1:25:00 PM

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hal-02980012 , version 1 (27-10-2020)

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  • HAL Id : hal-02980012 , version 1

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

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CNRS UNIV-CERGY THEMA-UMR8184 CY-TECH-SM
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