On the bias of applying square-root-of-time rule in multi-period Value at Risk
碩士 === 元智大學 === 財務金融學系 === 96 === In assessing VaR for multi-period holding returns, the square-root-of-time rule is undoubtedly the most easy and popular one within the scale of estimation methods. However, this rule pre-assumes several un-realistic assumptions such as (iid), normal and homoskedast...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26577674908124718578 |