On time-scaling of risk and the square-root-of-time rule-Reference-Cited by-同舟云学术

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On time-scaling of risk and the square-root-of-time rule

Published:2006-10 Issue:10 Volume:30 Page:2701-2713
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Daníelsson Jón,Zigrand Jean-Pierre

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference16 articles.

1. Basel Committee on Banking Supervision, 1996. Overview of the Amendment to the Capital Accord to Incorporate Market Risk.

2. Post-’87 crash fears in the S&P 500 futures option market;Bates;Journal of Econometrics,2000

3. Extrapolating VaR by the square-root rule;Blake;Financial Engineering News,2000

4. What type of process underlies options? A simple robust test;Carr;Journal of Finance,2003

5. Extremal forex returns in extremely large datasets;Dacorogna;Extremes,2001

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