Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese. Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. Comput. Manag. Science, 19(1):99-132, 2022. [doi]

Authors

Massimiliano Frezza

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Sergio Bianchi

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Augusto Pianese

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