Theo Berger. Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters. In Karl F. Doerner, Ivana Ljubic, Georg Pflug, Gernot Tragler, editors, Operations Research Proceedings 2015, Selected Papers of the International Conference of the German, Austrian and Swiss Operations Research Societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1-4, 2015. Operations Research Proceedings, pages 503-509, Springer, 2015. [doi]
Abstract is missing.