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]
@article{FrezzaBP22,
title = {Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process},
author = {Massimiliano Frezza and Sergio Bianchi and Augusto Pianese},
year = {2022},
doi = {10.1007/s10287-021-00412-w},
url = {https://doi.org/10.1007/s10287-021-00412-w},
researchr = {https://researchr.org/publication/FrezzaBP22},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {19},
number = {1},
pages = {99-132},
}